3 papers
q-fin.TR2019
An FBSDE approach to market impact games with stochastic parameters
Samuel Drapeau, Peng Luo, Alexander Schied +1
We analyze a market impact game between risk averse agents who compete for liquidity in a market impact model with permanent price impact and additional slippage. Most market p…
q-fin.MF2017
Characterization of Fully Coupled FBSDE in Terms of Portfolio Optimization
Samuel Drapeau, Peng Luo, Dewen Xiong
We provide a verification and characterization result of optimal maximal sub-solutions of BSDEs in terms of fully coupled forward backward stochastic differential equations. We ill…
math.PR2013
Parametrization in the progressively enlarged filtration
Kun Tian, Dewen Xiong, Zhongxing Ye
In this paper, we assume that the filtration $\bb F$ is generated by a -dimensional Brownian motion as well as an integer-valued random measure .…