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RECURSIVE BACKWARD SCHEME FOR THE SOLUTION OF A BSDE WITH A NON LIPSCHITZ GENERATOR
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- Journal:
- Probability in the Engineering and Informational Sciences / Volume 31 / Issue 2 / April 2017
- Published online by Cambridge University Press:
- 05 January 2017, pp. 207-225
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UTILITY MAXIMIZATION IN A PURE JUMP MODEL WITH PARTIAL OBSERVATION
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- Journal:
- Probability in the Engineering and Informational Sciences / Volume 25 / Issue 1 / January 2011
- Published online by Cambridge University Press:
- 02 November 2010, pp. 29-54
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RISK-NEUTRAL MEASURES AND PRICING FOR A PURE JUMP PRICE PROCESS: A STOCHASTIC CONTROL APPROACH
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- Journal:
- Probability in the Engineering and Informational Sciences / Volume 24 / Issue 1 / January 2010
- Published online by Cambridge University Press:
- 21 December 2009, pp. 47-76
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