12 citations · 13 across the 4 of their papers we have counts for
6 papers · 1 filter
The Skorokhod embedding problem for inhomogeneous diffusions
Stefan Ankirchner, Stefan Engelhardt, Alexander Fromm +1
We solve the Skorokhod embedding problem for a class of stochastic processes satisfying an inhomogeneous stochastic differential equation (SDE) of the form $d A_t =μ(t, A_t) d t +…
The method of decoupling fields generalized to higher spatial derivatives
Alexander Fromm
This work studies the spatial derivatives of decoupling fields to strongly coupled forward-backward stochastic differential equations in a Brownian setting. We formally deduce the…
Utility maximization via decoupling fields
Alexander Fromm, Peter Imkeller
We consider the utility maximization problem for a general class of utility functions defined on the real line. We rely on existing results which reduce the problem to a coupled fo…
An FBSDE approach to the Skorokhod embedding problem for Gaussian processes with non-linear drift
Alexander Fromm, Peter Imkeller, David J. Prömel
We solve the Skorokhod embedding problem for a class of Gaussian processes including Brownian motion with non-linear drift. Our approach relies on solving an associated strongly co…
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…
Existence, Uniqueness and Regularity of Decoupling Fields to Multidimensional Fully Coupled FBSDEs
Alexander Fromm, Peter Imkeller
We develop an existence, uniqueness and regularity theory for general multidimensional strongly coupled FBSDE using so called decoupling fields. We begin with a local result and ex…