G-期望理论及其在递归效用、资产定价和动态风险管理中的应用

11171187
2011
A0210.随机分析与随机过程
嵇少林
面上项目
教授
山东大学
40万元
倒向随机微分方程;G-期望;资产定价;动态风险管理;递归效用
2012-01-01到2015-12-31
  • 中英文摘要
  • 结题摘要
  • 结题报告
  • 项目成果
  • 项目参与人
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序号 标题 类型 作者
1 A Maximum Principle for Controlled Time-Symmetric Forward-Backward Doubly Stochastic Differential Equation with Initial-Terminal Sate Constraints 期刊论文 Shaolin Ji|Qingmeng, Wei|Xiumin, Zhang|
2 Ambiguous Volatility and Asset Pricing in Continuous Time 期刊论文 Larry G.Epstein|Shaolin Ji|
3 Classical Solutions of Path-Dependent PDEs and Functional Forward-Backward Stochastic Systems 期刊论文 Shaolin Ji|Shuzhen Yang|
4 A maximum principle for fully coupled forward–backward stochastic control systems with terminal state constraints 期刊论文 Shaolin Ji|Qingmeng Wei|
5 Backward stochastic differential equations driven by G-Brownian motion 期刊论文 Mingshang Hu|Shaolin Ji|Shige Peng|Yongsheng Song|
6 A note on functional derivatives on continuous paths 期刊论文 Shaolin Ji|Shuzhen Yang|
7 Path-dependent Hamilton–Jacobi–Bellman equations related to controlled stochastic functional differential systems 期刊论文 Shaolin Ji|Lin Wang|Shuzhen Yang|
8 A generalized Girsanov transformation of finite state stochastic processes in discrete time 期刊论文 Samuel N. Cohen|Shaolin Ji|Shuzhen Yang|
9 Ambiguous volatility, possibility and utility in continuous time 期刊论文 Larry G. Epstein|Shaolin Ji|
10 A maximum principle for fully coupled forward-backward stochastic control systems with terminal state constraints 期刊论文 Shaolin Ji|Qingmeng Wei|
11 A Stochastic Recursive Optimal Control Problem Under the G-expectation Framework 期刊论文 Mingshang Hu|Shaolin Ji|Shuzhen Yang|
12 A Maximum Principle for Controlled Time-Symmetric Forward-Backward Doubly Stochastic Differential Equation with Initial-Terminal Sate Constraints 期刊论文 Shaolin Ji|Xiumin Zhang|
13 Comparison theorem, Feynman–Kac formula and Girsanov transformation for BSDEs driven by G-Brownian motion 期刊论文 Mingshang Hu|Shaolin Ji|Shige Peng|Yongsheng Song|
14 L^p estimates for fully coupled FBSDEs with jumps 期刊论文 Li, juan|*Wei, Qingmeng|
15 The Dynamic Programming Method of Stochastic Differential Game for Functional Forward-Backward Stochastic System 期刊论文 Shaolin Ji|Chuanfeng Sun|Qingmeng Wei|
16 An Optimal Insurance Design Problem under Knightian Uncertainty 期刊论文 Carole Bernard|Shaolin Ji|Weidong Tian|
17 Ambiguous Volatility and Asset Pricing in Continuous Time 期刊论文 Epstein, Larry G.|Ji, Shaolin|
18 Solutions for functional fully coupled forward–backward stochastic differential equations 期刊论文 Shaolin Ji|Shuzhen Yang|
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