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Rank-dependent ppredictableforward performance processes
《Probability, Uncertainty and Quantitative Risk》2024年第2期181-218,共38页Bahman Angoshtari Shida Duan 
Predictable forward performance processes(PFPPs)are stochastic optimal control frameworks for an agent who controls a randomly evolving system but can only prescribe the system dynamics for a short period ahead.This i...
关键词：Forward performance criteria Rank dependent utility Probability distortion Time consistency Inverse investment problems Volterra integral equations Completely monotonic inverse marginals 
Predictable forward performance processes in complete markets被引量：5
《Probability, Uncertainty and Quantitative Risk》2023年第2期141-176,共36页Bahman Angoshtari 
supported by the National Science Foundation(Grant No.DMS-1929348).
We establish existence of Predictable Forward Performance Processes(PFPPs)in conditionally complete markets,which has been previously shown only in the binomial setting.Our market model can be a discrete-time or a con...
关键词：Forward performance processes Predictable preference Complete market Integral equation Completely monotonic inverse marginal Deconvolution Fourier transform 
Correction to:“Existence,uniqueness and comparison results for BSDEs with Levy jumps in an extended monotonic generator setting”
《Probability, Uncertainty and Quantitative Risk》2019年第1期115-116,共2页Christel Geiss Alexander Steinicke 
The proof of(Geiss and Steinicke(2018),Theorem 3.5)needs an extra step addressing the problem that our conditions on the generator are not sufficient to guarantee the existence of the considered optional projectionmail.
关键词：generator UNIQUENESS proof 
Existence,uniqueness and comparison results for BSDEs with Levy jumps in an extended monotonic generator setting
《Probability, Uncertainty and Quantitative Risk》2018年第1期253-285,共33页Christel Geiss Alexander Steinicke 
Large parts of this article were written when Alexander Steinicke was member of the Institute of Mathematics and Scientific Computing,University of Graz,Austria,and supported by the Austrian Science Fund(FWF):Project F5508-N26,which is part of the Special Research Program"Quasi-Monte Carlo Methods:Theory and Applications."。
We show that the comparison results for a backward SDE with jumps established in Royer(Stoch.Process.Appl 116:1358–1376,2006)and Yin and Mao(J.Math.Anal.Appl 346:345–358,2008)hold under more simplified conditions.Mo...
关键词：Backward stochastic differential equation Levy process´ comparison theorem existence and uniqueness 
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