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20082026
most citedDiffolio: A Diffusion Model for Multivariate Probabilistic Financial Time-Series Forecasting and Portfolio Construction

1 citations · 2 across the 12 of their papers we have counts for

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math.PR2008★ 1 cited

Optimal Switching of One-Dimensional Reflected BSDEs, and Associated Multi-Dimensional BSDEs with Oblique Reflection

Shanjian Tang, Wei Zhong, Hyeng Keun Koo

In this paper, an optimal switching problem is proposed for one-dimensional reflected backward stochastic differential equations (RBSDEs, for short) where the generators, the termi…