2 papers
math.PR2019
A Stochastic Calculus for Rosenblatt Processes
Petr Čoupek, Tyrone E. Duncan, Bozenna Pasik-Duncan
A stochastic calculus is given for processes described by stochastic integrals with respect to fractional Brownian motions and Rosenblatt processes somewhat analogous to the stocha…
math.OC2018
Semi-Explicit Solutions to some Non-Linear Non-Quadratic Mean-Field-Type Games: A Direct Method
Julian Barreiro-Gomez, Tyrone E. Duncan, Bozenna Pasik-Duncan +1
This article examines mean-field-type game problems by means of a direct method. We provide various solvable examples beyond the classical linear-quadratic game problems. These inc…