16 citations · 103 across the 24 of their papers we have counts for
4 papers · 1 filter
Itô's formula for flows of measures on semimartingales
Xin Guo, Huyên Pham, Xiaoli Wei
We establish Itô's formula along flows of probability measures associated with general semimartingales; this generalizes existing results for flows of measures on Itô processes. Ou…
Consistency and Computation of Regularized MLEs for Multivariate Hawkes Processes
Xin Guo, Anran Hu, Renyuan Xu +1
This paper proves the consistency property for the regularized maximum likelihood estimators (MLEs) of multivariate Hawkes processes (MHPs). It also develops an alternating minimiz…
Martingale Problem under Nonlinear Expectations
Xin Guo, Chen Pan, Shige Peng
We formulate and solve the martingale problem in a nonlinear expectation space. Unlike the classical work of Stroock and Varadhan (1969) where the linear operator in the associated…
A Note on - Optimal Stopping Problems
Xin Guo, Chen Pan, Shige Peng
We consider a class of discretionary stopping problems within the -framework. We first establish the well-definedness of the stopping problem under the -expectation, by showi…