A stochastic approach to path-dependent nonlinear Kolmogorov equations via BSDEs with time-delayed generators and applications to finance-Reference-Cited by-同舟云学术

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A stochastic approach to path-dependent nonlinear Kolmogorov equations via BSDEs with time-delayed generators and applications to finance

Published:2020-03 Issue:3 Volume:130 Page:1669-1712
ISSN:0304-4149
Container-title:Stochastic Processes and their Applications
language:en
Short-container-title:Stochastic Processes and their Applications

Author:

Cordoni Francesco,Di Persio Luca^ORCID,Maticiuc Lucian^ORCID,Zălinescu Adrian^ORCID

Funder

Deterministic and stochastic systems

Publisher

Elsevier BV

Subject

Applied Mathematics,Modelling and Simulation,Statistics and Probability

Reference40 articles.

1. A delayed Black and Scholes formula;Arriojas;Stoch. Anal. Appl.,2007

2. Coherent measures of risk;Artzner,2002

3. Pricing, hedging and optimally designing derivatives via minimization of risk measures;Barrieu,2007

4. Conjugate convex functions in optimal stochastic control;Bismut;J. Math. Anal. Appl.,1973

5. The European option with hereditary price structures: Basic theory;Chang;Appl. Math. Comput.,1999

Cited by 5 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Time-delayed generalized BSDEs;Stochastic Processes and their Applications;2024-04

2. Feynman–Kac formula for BSDEs with jumps and time delayed generators associated to path-dependent nonlinear Kolmogorov equations;Nonlinear Differential Equations and Applications NoDEA;2023-08-29

3. Stochastic Maximum Principle for Optimal Liquidation with Control-Dependent Terminal Time;Applied Mathematics & Optimization;2022-05-10

4. A Probabilistic Method for a Class of Non-Lipschitz BSDEs with Application to Fund Management;SIAM Journal on Control and Optimization;2022-05-03

5. Feynman-Kac Formula for BSDEs with Jumps and Time Delayed Generators Associated to Path-Dependent Nonlinear Kolmogorov Equations;Mathematical and Statistical Methods for Actuarial Sciences and Finance;2022

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