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1Academic Journal
المؤلفون: Badr Elmansouri, Mohamed El Otmani
المصدر: Modern Stochastics: Theory and Applications, Vol 11, Iss 1, Pp 109-128 (2023)
مصطلحات موضوعية: Generalized BSDEs with jumps, RCLL martingale, stochastic monotone coefficient, Stochastic Lipschitz coefficient, Yosida approximation, Applied mathematics. Quantitative methods, T57-57.97, Mathematics, QA1-939
وصف الملف: electronic resource
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2Report
المؤلفون: Matoussi, Anis, Mnif, Mohamed, Ziri, Chefia
المساهمون: Laboratoire Manceau de Mathématiques (LMM), Le Mans Université (UM), Laboratoire de Modélisation Mathématique et Numérique dans les Sciences de l'Ingénieur Tunis (LR-LAMSIN-ENIT), Ecole Nationale d'Ingénieurs de Tunis (ENIT), Université de Tunis El Manar (UTM)-Université de Tunis El Manar (UTM), ANR-21-CE46-0002,DREAMES,Méthodes numériques pour l'aide à la décision : préférences dynamiques et risques multivariés(2021)
المصدر: https://hal.science/hal-03815082 ; 2022.
مصطلحات موضوعية: Linear quadratic optimal control, Mean field SDEs with jumps, Mean field BSDEs with jumps, Riccati equation, Exhaustible resources, Stochastic control, Jumps diffusion process, [MATH.MATH-PR]Mathematics [math]/Probability [math.PR], [MATH.MATH-OC]Mathematics [math]/Optimization and Control [math.OC]
Relation: hal-03815082; https://hal.science/hal-03815082; https://hal.science/hal-03815082/document; https://hal.science/hal-03815082/file/MFC-With-jumps-2022.pdf
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3Report
المؤلفون: Kaakai, Sarah, Matoussi, Anis, Tamtalini, Achraf
المساهمون: Laboratoire Manceau de Mathématiques (LMM), Le Mans Université (UM), Chair Risques Emergents en Assurance" under the aegis of Fondation du Risque, a joint initiative by Le Mans Université and Covéa., ANR-21-CE46-0002,DREAMES,Méthodes numériques pour l'aide à la décision : préférences dynamiques et risques multivariés(2021)
المصدر: https://hal.science/hal-03813812 ; 2022.
مصطلحات موضوعية: Utility maximization, Robustness, Quadratic BSDEs with jumps, Time-consistent penalties, Bellman Martingale Optimality principle, Uncertainty, Stochastic control, [MATH.MATH-PR]Mathematics [math]/Probability [math.PR], [MATH.MATH-OC]Mathematics [math]/Optimization and Control [math.OC]
Relation: info:eu-repo/semantics/altIdentifier/arxiv/2210.07640; hal-03813812; https://hal.science/hal-03813812; https://hal.science/hal-03813812v3/document; https://hal.science/hal-03813812v3/file/Utility_Maximization_Problem_with_Uncertainty_and_a_Jump_Setting.pdf; ARXIV: 2210.07640
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4Report
المؤلفون: Tamtalini, Achraf, Matoussi, Anis, Kaakai, Sarah
المساهمون: Laboratoire Manceau de Mathématiques (LMM), Le Mans Université (UM), Chair Risques Emergents en Assurance" under the aegis of Fondation du Risque, a joint initiative by Le Mans Université and Covéa., ANR-21-CE46-0002,DREAMES,Méthodes numériques pour l'aide à la décision : préférences dynamiques et risques multivariés(2021)
المصدر: https://hal.archives-ouvertes.fr/hal-03813812 ; 2022.
مصطلحات موضوعية: Utility maximization, Robustness, Quadratic BSDEs with jumps, Time-consistent penalties, Bellman Martingale Optimality principle, Uncertainty, Stochastic control, [MATH.MATH-PR]Mathematics [math]/Probability [math.PR], [MATH.MATH-OC]Mathematics [math]/Optimization and Control [math.OC]
Relation: info:eu-repo/semantics/altIdentifier/arxiv/2210.07640; hal-03813812; https://hal.archives-ouvertes.fr/hal-03813812; https://hal.archives-ouvertes.fr/hal-03813812v2/document; https://hal.archives-ouvertes.fr/hal-03813812v2/file/Utility%20Maximization%20Problem%20with%20Uncertainty%20and%20a%20Jump%20Setting.pdf; ARXIV: 2210.07640
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5Academic Journal
المؤلفون: Barigou, Karim, Delong, Lukasz
المساهمون: Laboratoire de Sciences Actuarielle et Financière (LSAF), Université Claude Bernard Lyon 1 (UCBL), Université de Lyon-Université de Lyon, Warsaw School of Economics, Institut of Econometrics
المصدر: ISSN: 0377-0427 ; Journal of Computational and Applied Mathematics ; https://hal.science/hal-02896141 ; Journal of Computational and Applied Mathematics, 2021, 404 (113922), ⟨10.1016/j.cam.2021.113922⟩.
مصطلحات موضوعية: Equity-linked contracts, Neural networks, Stochastic mortality, BSDEs with jumps, Hull-White stochastic interest rates, Heston model, [QFIN.PR]Quantitative Finance [q-fin]/Pricing of Securities [q-fin.PR]
Relation: info:eu-repo/semantics/altIdentifier/arxiv/2007.08804; ARXIV: 2007.08804
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6Academic Journal
المؤلفون: Geiss, Christel, Steinicke, Alexander
مصطلحات موضوعية: Malliavin-laskenta, BSDEs with jumps, locally Lipschitz generator, quadratic BSDEs, existence and uniqueness of solutions to BSDEs, malliavin differentiability of BSDEs, stokastiset prosessit, differentiaaliyhtälöt, matematiikka
وصف الملف: application/pdf; 418-453; fulltext
Relation: Stochastics; 92; CONVID_30945456
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7Report
المؤلفون: Barigou, Karim, Delong, Lukasz
المساهمون: Laboratoire de Sciences Actuarielle et Financière (SAF), Université Claude Bernard Lyon 1 (UCBL), Université de Lyon-Université de Lyon, Warsaw School of Economics, Institut of Econometrics
المصدر: https://hal.archives-ouvertes.fr/hal-02896141 ; 2020.
مصطلحات موضوعية: Equity-linked contracts, Neural networks, Stochastic mortality, BSDEs with jumps, Hull-White stochastic interest rates, Heston model, [QFIN.PR]Quantitative Finance [q-fin]/Pricing of Securities [q-fin.PR]
Relation: info:eu-repo/semantics/altIdentifier/arxiv/2007.08804; hal-02896141; https://hal.archives-ouvertes.fr/hal-02896141; https://hal.archives-ouvertes.fr/hal-02896141/document; https://hal.archives-ouvertes.fr/hal-02896141/file/PricingELNN-JCAM.pdf; ARXIV: 2007.08804
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8
المؤلفون: Hamed Amini, Zhongyuan Cao, Agnes Sulem
المساهمون: University of Florida [Gainesville] (UF), Mathematical Risk Handling (MATHRISK), Université Paris-Est Marne-la-Vallée (UPEM)-École des Ponts ParisTech (ENPC)-Inria de Paris, Institut National de Recherche en Informatique et en Automatique (Inria)-Institut National de Recherche en Informatique et en Automatique (Inria)
مصطلحات موضوعية: History, Polymers and Plastics, Graphon particle systems, Dynamic risk measures, Business and International Management, [MATH]Mathematics [math], Mean-field BSDEs with jumps, Industrial and Manufacturing Engineering
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9
المؤلفون: Karim Barigou, Lukasz Delong
المساهمون: Laboratoire de Sciences Actuarielle et Financière (SAF), Université Claude Bernard Lyon 1 (UCBL), Université de Lyon-Université de Lyon, Warsaw School of Economics, Institut of Econometrics
المصدر: Journal of Computational and Applied Mathematics
Journal of Computational and Applied Mathematics, Elsevier, 2021, 404 (113922), ⟨10.1016/j.cam.2021.113922⟩مصطلحات موضوعية: [QFIN.PR]Quantitative Finance [q-fin]/Pricing of Securities [q-fin.PR], media_common.quotation_subject, BSDEs with jumps, 01 natural sciences, Heston model, Standard deviation, FOS: Economics and business, 010104 statistics & probability, Stochastic differential equation, Life insurance, Stochastic mortality, 0502 economics and business, Econometrics, Asset (economics), 0101 mathematics, Mathematics, media_common, Equity-linked contracts, 050208 finance, Hull-White stochastic interest rates, Applied Mathematics, 05 social sciences, Equity (finance), Interest rate, Computational Mathematics, Pricing of Securities (q-fin.PR), Volatility (finance), Quantitative Finance - Pricing of Securities, Neural networks
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10Report
المؤلفون: Amini, Hamed, Cao, Zhongyuan, Sulem, Agnès
المساهمون: University of Florida Gainesville (UF), Mathematical Risk Handling (MATHRISK), Université Paris-Est Marne-la-Vallée (UPEM)-École des Ponts ParisTech (ENPC)-Inria de Paris, Institut National de Recherche en Informatique et en Automatique (Inria)-Institut National de Recherche en Informatique et en Automatique (Inria)
المصدر: https://hal.science/hal-03830110 ; 2022.
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11
المؤلفون: Chen, Rui
المساهمون: Mathematical Risk Handling (MATHRISK), Université Paris-Est Marne-la-Vallée (UPEM)-École des Ponts ParisTech (ENPC)-Inria de Paris, Institut National de Recherche en Informatique et en Automatique (Inria)-Institut National de Recherche en Informatique et en Automatique (Inria), Université Paris Dauphine-PSL, Université Paris sciences et lettres (PSL), Université Paris-Dauphine, Agnès Sulem, Briot, Brigitte
المصدر: Computer Science [cs]. Université Paris-Dauphine, 2019. English
Computer Science [cs]. Université Paris-Dauphine, 2019. English. ⟨NNT : ⟩مصطلحات موضوعية: Contagion de défauts, [MATH] Mathematics [math], Graphes aléatoires, [INFO] Computer Science [cs], Mean field BSDEs, BSDEs with jumps, Réseaux financiers, Financial networks, Optimal control, Systemic risk, Contrôle optimal, Risque systémique, [INFO]Computer Science [cs], Default contagion, [MATH]Mathematics [math], EDSRs à champs moyen avec sauts, Random graphs
وصف الملف: application/pdf
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12Dissertation/ Thesis
المؤلفون: Chen, Rui
المساهمون: Mathematical Risk Handling (MATHRISK), Université Paris-Est Marne-la-Vallée (UPEM)-École nationale des ponts et chaussées (ENPC)-Inria de Paris, Institut National de Recherche en Informatique et en Automatique (Inria)-Institut National de Recherche en Informatique et en Automatique (Inria), Université Paris Dauphine-PSL, Université Paris Sciences et Lettres (PSL), Université Paris-Dauphine, Agnès Sulem
المصدر: https://inria.hal.science/tel-02434108 ; Computer Science [cs]. Université Paris-Dauphine, 2019. English. ⟨NNT : ⟩.
مصطلحات موضوعية: Mean field BSDEs, Optimal control, Financial networks, Default contagion, Random graphs, Systemic risk, BSDEs with jumps, Risque systémique, Contagion de défauts, Contrôle optimal, EDSRs à champs moyen avec sauts, Graphes aléatoires, Réseaux financiers, [INFO]Computer Science [cs], [MATH]Mathematics [math]
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13Dissertation/ Thesis
المؤلفون: Chen, Rui
المساهمون: Paris Sciences et Lettres (ComUE), Sulem, Agnès
مصطلحات موضوعية: Risque systémique, Réseaux financiers, Graphes aléatoires, Contagion de défauts, Contrôle optimal, EDSRs à champs moyen avec sauts, Systemic risk, Financial networks, Random graphs, Default contagion, Optimal control, BSDEs with jumps, Mean field BSDEs
Time: 519
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14Dissertation/ Thesis
المؤلفون: Saplaouras, Alexandros
المساهمون: Papapantoleon, Antonis, Technische Universität Berlin, Friz, Peter, Possamai, Dylan
مصطلحات موضوعية: 519 Wahrscheinlichkeiten, angewandte Mathematik, BSDEs with jumps, stability, stochastic Lipschitz generator, martingale representations, processes with jumps, Stabilität, stochastischer Lipschitz Generator, Martingaldarstellungen, Prozesse mit Sprüngen
وصف الملف: application/pdf
Relation: https://depositonce.tu-berlin.de/handle/11303/6716; http://dx.doi.org/10.14279/depositonce-6154
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15
المؤلفون: Christel Geiss, Alexander Steinicke
المصدر: Montanuniversität Leoben
Stochastics (Abingdon)مصطلحات موضوعية: Statistics and Probability, matematiikka, locally Lipschitz generator, malliavin differentiability of BSDEs, Malliavin-laskenta, existence and uniqueness of solutions to BSDEs, BSDEs with jumps, Lipschitz continuity, Lévy process, Article, Stochastic differential equation, Mathematics::Probability, Modeling and Simulation, quadratic BSDEs, Applied mathematics, 60H10, Uniqueness, Differentiable function, differentiaaliyhtälöt, Mathematics - Probability, stokastiset prosessit, Mathematics
وصف الملف: application/pdf; fulltext
URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9f7302ab0b9c97180eeb73ba41161090
https://puretest.unileoben.ac.at/portal/en/publications/existence-uniqueness-and-malliavin-differentiability-of-levydriven-bsdes -with-locally-lipschitz-driver(b9977f99-ca17-471c-a3be-7427da0b69ff).html