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math.PR2020
A unified approach to well-posedness of type-I backward stochastic Volterra integral equations
Camilo Hernández, Dylan Possamaï
We study a novel general class of multidimensional type-I backward stochastic Volterra integral equations. Toward this goal, we introduce an infinite dimensional system of standard…
math.PR2015
Utility maximization with random horizon: a BSDE approach
Monique Jeanblanc, Thibaut Mastrolia, Dylan Possamaï +1
In this paper we study a utility maximization problem with random horizon and reduce it to the analysis of a specific BSDE, which we call BSDE with singular coefficients, when the…