4 citations · 11 across the 10 of their papers we have counts for
10 papers
Data-driven Multiperiod Robust Mean-Variance Optimization
Xin Hai, Gregoire Loeper, Kihun Nam
We study robust mean-variance optimization in multiperiod portfolio selection by allowing the true probability measure to be inside a Wasserstein ball centered at the empirical pro…
Robust Wasserstein Optimization and its Application in Mean-CVaR
Xin Hai, Kihun Nam
We refer to recent inference methodology and formulate a framework for solving the distributionally robust optimization problem, where the true probability measure is inside a Wass…
Coupled FBSDEs with Measurable Coefficients and its Application to Parabolic PDEs
Kihun Nam, Yunxi Xu
Using purely probabilistic methods, we prove the existence and the uniqueness of solutions fora system of coupled forward-backward stochastic differential equations (FBSDEs) with m…
Global Well-posedness of Non-Markovian Multidimensional Superquadratic BSDE
Kihun Nam
(Working Paper) Using a purely probabilistic argument, we prove the global well-posedness of multidimensional superquadratic backward stochastic differential equations (BSDEs) with…
Time-changed \levy processes and option pricing: a critical comment
Hasan Fallahgoul, Kihun Nam
Carr and Wu (2004), henceforth CW, developed a framework that encompasses almost all of the continuous-time models proposed in the option pricing literature. Their framework hinges…
Variations of dynamic random networks: localization approach
Kihun Nam
We study the variation of exchangeable graph-valued process and its graph limit. We used a constructive method using localization technique. Our method provides a specifi…
Locally Lipschitz BSDE driven by a continuous martingale: path-derivative approach
Kihun Nam
Using a new notion of path-derivative, we study well-posedness of backward stochastic differential equation driven by a continuous martingale when is locally Lipsc…
BSE's, BSDE's and fixed point problems
Patrick Cheridito, Kihun Nam
In this paper, we introduce a class of backward stochastic equations (BSEs) that extend classical BSDEs and include many interesting examples of generalized BSDEs as well as semima…
Multidimensional quadratic and subquadratic BSDEs with special structure
Patrick Cheridito, Kihun Nam
We study multidimensional BSDEs of the form with bounded terminal conditions and drivers that grow at most quadra…
BSDEs with terminal conditions that have bounded Malliavin derivative
Patrick Cheridito, Kihun Nam
We show existence and uniqueness of solutions to BSDEs of the form in the case where the terminal condition has bounde…