42 citations · 108 across the 17 of their papers we have counts for
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math.PR2013★ 1 cited
Dual Representation of Minimal Supersolutions of Convex BSDEs
Samuel Drapeau, Michael Kupper, Emanuela Rosazza Gianin +1
We give a dual representation of minimal supersolutions of BSDEs with non-bounded, but integrable terminal conditions and under weak requirements on the generator which is allowed…
math.PR2013★ 2 cited
Dynamic Assessment Indices
Tomasz R. Bielecki, Igor Cialenco, Samuel Drapeau +1
This paper provides a unified framework, which allows, in particular, to study the structure of dynamic monetary risk measures and dynamic acceptability indices. The main mathemati…