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Application of stochastic programming methods in diffusion process control problems

โœ Scribed by V. P. Shilo

Publisher
Springer US
Year
1978
Tongue
English
Weight
372 KB
Volume
14
Category
Article
ISSN
1573-8337

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Computation of distorted probabilities for diffusion processes via stochastic control methods
โœ Virginia R. Young; Thaleia Zariphopoulou ๐Ÿ“‚ Article ๐Ÿ“… 2000 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 134 KB

We study distorted survival probabilities related to risks in incomplete markets. The risks are modeled as diffusion processes, and the distortions are of general type. We establish a connection between distorted survival probabilities of the original risk process and distortion-free survival probab