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Issue Date
Title
Author(s)
2015
Backward stochastic difference equations for dynamic convex risk measures on a binomial tree
Elliott, R.
;
Siu, T.
;
Cohen, S.
2010
A general theory of finite state Backward Stochastic Difference Equations
Cohen, S.
;
Elliott, R.
2010
Comparisons for backward stochastic differential equations on Markov chains and related no-arbitrage conditions
Cohen, S.
;
Elliott, R.
2010
A general comparison theorem for backward stochastic differential equations
Cohen, S.
;
Elliott, R.
;
Pearce, C.
2011
Backward stochastic difference equations and nearly time-consistent nonlinear expectations
Cohen, S.
;
Elliott, R.
2011
Backward Stochastic Difference Equations with Finite States
Cohen, S.
;
Elliott, R.
;
Kohatsu Higa, A.
;
Privault, N.
;
Sheu, S.
;
Workshop on Stochastic Analysis and Finance (29 Jun 2009 - 3 Jul 2009 : Hong Kong)
2010
Comparison theorems for finite state backward stochastic differential equations
Cohen, S.
;
Elliott, R.
;
Chiarella, C.
;
Novikov, A.
;
International Conference on Quantitative Methods in Finance (2009 : Sydney, Australia)
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Author
1
Chiarella, C.
1
International Conference on Quant...
1
Kohatsu Higa, A.
1
Novikov, A.
1
Pearce, C.
1
Privault, N.
1
Sheu, S.
1
Siu, T.
1
Workshop on Stochastic Analysis a...
Subject
4
BSDE
4
nonlinear expectation
3
comparison theorem
2
dynamic risk measures
1
Backward stochastic differential ...
1
Comparison theorem
1
Dynamic convex risk measure; cond...
1
dynamic risk measure
1
Dynamic risk measures
1
Markov chains
.
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Date issued
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2015
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2010