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PlanIntroductioRne´´freneecMstoativnsioscDeptriLnoiorpee`lb´MemdedyethoqueCnamiedaldaertaoilrtnutionnc`eodemeLnocseLelrsnoitideLrse´usqeiues:sredisconltatsCadle`d´hTeunitomeLbjsosdetrieoLee:ir:e´hoeduTe´tesreqtionondiLescatluse´rseLsesiuulesr´esndlaBits`lboemecnanLreitstaepR´seonprauMACU
Marie-Ame´lieMorlais
19 Septembre 2006
EDSR et Application en finance Comparatifdansdeuxcadresd´etudedi´erents
IRMAR, UMR 6625 ´ Equipe de Processus stochastiques Universit´edeRennes1,FRANCE
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EDSRetApplicationennanceComparatifdansdeuxcadresd´etu1d9eSdeipte´eremnbtrse20064de39
Introduction:Quelquesr´efe´rences
Becherer, D., Bounded solutions to Backward SDE’s with jumps for utility optimization and indifference hedging, Ann. Appl. Probab., to appear. El Karoui, N. and Rouge, R., Pricing via utility maximization and entropy, Math. Finance,10(2) : 259–276, 2000.
Hu,Y.,Imkeller,P.andMu¨ller,M., Utility maximization in incomplete markets, Ann. Appl. Probab.,15(3) : 1691–1712, 2005.
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EDSRetApplicationennanceComparatifdansdeuxcadresd´etu1d9eSdeipt´eeremnbtrse20065de39
Introduction:Quelquesr´efe´rences
Morlais, M.A., Quadratic BSDEs Driven by a Continuous Martingale and Application to Utility Maximization Problem, Available on HAL CCSD-00020254 CNRS, Mars 2006. Schachermayer, W., Utility maximisation in incomplete markets. Stochastic methods in finance,Lecture Notes in Math., 1856: 255–293. Springer, Berlin, 2004.
Kobylanski, M., Backward stochastic differential equations and partial differential equations with quadratic growth, Ann. Probab.,28(2) : 558–602, 2000.
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Introductio:Lble`´tudie´ n e pro me e
Optimisationdeportefeuille(souscontraintes)enmarche´ incomplet. D´enirlemarch´enancieretleshypoth`eses. Traduireleprobl`emeentermesmathe´matiques(Choix dunem´ethodedynamiquedere´solution) R´esoudreleproble`methe´oriqueprovenantdecette traduction. Pre´senterlesre´sultatsetdie´rencesmajeuresentrele cadre continu et discontinu.
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