2 citations · 3 across the 3 of their papers we have counts for
4 papers
A Regress-Later Algorithm for Backward Stochastic Differential Equations
Kossi Gnameho, Mitja Stadje, Antoon Pelsser
This work deals with the numerical approximation of backward stochastic differential equations (BSDEs). We propose a new algorithm which is based on the regression-later approach a…
Perfect hedging under endogenous permanent market impacts
Masaaki Fukasawa, Mitja Stadje
We model a nonlinear price curve quoted in a market as the utility indifference curve of a representative liquidity supplier. As the utility function we adopt a g-expectation. In c…
On Dynamic Deviation Measures and Continuous-Time Portfolio Optimisation
Martijn Pistorius, Mitja Stadje
In this paper we propose the notion of dynamic deviation measure, as a dynamic time-consistent extension of the (static) notion of deviation measure. To achieve time-consistency we…
Existence, minimality and approximation of solutions to BSDEs with convex drivers
Patrick Cheridito, Mitja Stadje
We study the existence of solutions to backward stochastic differential equations with drivers f(t,W,y,z) that are convex in z. We assume f to be Lipschitz in y and W but do not ma…