Mun-chol Kim

activity

20132019

most citedAn efficient third-order scheme for BSDEs based on nonequidistant difference scheme

3 citations · 8 across the 12 of their papers we have counts for

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Showing 2019 · math.PRShow all

2 papers · 2 filters

math.PR2019

Stochastic Gronwall's inequality in random time horizon and its application to BSDE

Hun O, Mun-Chol Kim, Chol-Gyu Pak

In this paper, we introduce and prove a stochastic Gronwall's inequality in (unbounded) random time horizon. As an application, we prove a comparison theorem for backward stochasti…

math.PR2019

Uniqueness, Comparison and Stability for Scalar BSDEs with {Lexp(μsqrt(2log(1+L)))}-integrable terminal values and monotonic generators

Hun O, Mun-Chol Kim, Chol-Gyu Pak

This paper considers a class of scalar backward stochastic differential equations (BSDEs) with $L exp (μ 2 lo g (1 + L))$ -integrable terminal values. We associate these BSDEs with…