UTILITIES

作品数：131被引量：71H指数：4
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Guillaume Broux-Quemerais,Sarah Kaakai, Anis Matoussi,Wissal Sabbagh
《Probability, Uncertainty and Quantitative Risk》2024年第2期149-180,共32页Guillaume Broux-Quemerais Sarah Kaakarl Anis Matoussi Wissal Sabbagh 
The authors research is part of the ANR project DREAMeS(ANR-21-CE46-0002)and benefited from the support of respectively the "Chair Risques Emergents en Assurance"and"Chair Impact de la Transition Climatique en Assurance"under the aegis of Fondation du Risque,a joint initiative by Risk and Insurance Institute of Le Mans,and MMA-Covea and Groupama respectively.
In this paper,we present a probabilistic numerical method for a class of forward utilities in a stochastic factor model.For this purpose,we use the representation of forward utilities using the ergodic Backward Stocha...
关键词：Deep leaming scheme Forward utilities Ergodic BSDEs Markovian solution Deep learning algorithm 
Forward robust portfolio selection: The binomial case被引量：3
《Probability, Uncertainty and Quantitative Risk》2024年第1期107-122,共16页Harrison Waldon 
We introduce a new approach for optimal portfolio choice under model ambiguity by incorporating predictable forward preferences in the framework of Angoshtari et al.[2].The investor reassesses and revises the model am...
关键词：Forward robust portfolio selection Binomial case Optimal portfolio Forward performance processes Linear utilities Quadratic utilities Robust forward performance criteria 
Bi-revealed utilities in a defaultable universe: A new point of view on consumption
《Probability, Uncertainty and Quantitative Risk》2024年第1期13-34,共22页Nicole El Karoui Caroline Hillairet Mohamed Mrad 
This work is with the financial support of the“Chaire Risque Financier”of the“Fondation du Risque”,the Labex MME-DII.The authors's research is part of the ANR project DREAMeS(ANR-21-CE46-0002).
This paper investigates the inverse problem of bi-revealed utilities in a defaultable universe,defined as a standard universe(represented by a filtration F)perturbed by an exogenous defaultable time τ.We assume that ...
关键词：Bi-revealed utilities Defaultable euniverse Enlargement offiltration Preference criteria of wealth and consumption 
Stochastic global maximum principle for optimization with recursive utilities被引量：4
《Probability, Uncertainty and Quantitative Risk》2017年第1期1-20,共20页Mingshang Hu 
Research supported by NSF(No.11671231,11201262 and 10921101);Shandong Province(No.BS2013SF020 and ZR2014AP005);Young Scholars Program of Shandong University and the 111 Project(No.B12023).
In this paper,we study the recursive stochastic optimal control problems.The control domain does not need to be convex,and the generator of the backward stochastic differential equation can contain z.We obtain the var...
关键词：Backward stochastic differential equations Recursive stochastic optimal control Maximum principle Variational equation 
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