13 citations · 15 across the 4 of their papers we have counts for
3 papers · 1 filter
Existence and stability of measure solutions for BSDE with generators of quadratic growth
Alexander Fromm, Peter Imkeller, Jianing Zhang
With an emphasis on generators with quadratic growth in the control variable we consider measure solutions of BSDE, a solution concept corresponding to the notion of risk neutral m…
Forward-backward systems for expected utility maximization
Ulrich Horst, Ying Hu, Peter Imkeller +2
In this paper we deal with the utility maximization problem with a general utility function. We derive a new approach in which we reduce the utility maximization problem with gener…
FBSDE with time delayed generators: Lp-solutions, differentiability, representation formulas and path regularity
Gonçalo dos Reis, Anthony Réveillac, Jianing Zhang
We extend the work of Delong and Imkeller (2010a,b) concerning Backward stochastic differential equations with time delayed generators (delay BSDE). We give moment and a priori est…