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math.PR2020
Path Dependent Feynman-Kac Formula for Forward Backward Stochastic Volterra Integral Equations
Hanxiao Wang, Jiongmin Yong, Jianfeng Zhang
This paper is concerned with the relationship between forward-backward stochastic Volterra integral equations (FBSVIEs, for short) and a system of (non-local in time) path dependen…
math.PR2019
Extended Backward Stochastic Volterra Integral Equations, Quasilinear Parabolic Equations, and Feynman-Kac Formula
Hanxiao Wang
In this paper, we establish the relationship between backward stochastic Volterra integral equations (BSVIEs, for short) and a kind of non-local quasilinear (and possibly degenerat…
math.PR2018
Recursive Utility Processes, Dynamic Risk Measures and Quadratic Backward Stochastic Volterra Integral Equations
Hanxiao Wang, Jingrui Sun, Jiongmin Yong
For an $\cF_T$-measurable payoff of a European type contingent claim, the recursive utility process/dynamic risk measure can be described by the adapted solution to a backward stoc…