10 citations · 19 across the 12 of their papers we have counts for
Showing 2014Show all
2 papers · 1 filter
math.PR2014
Stochastic Partial Differential Equations Driven by Fractional Levy Noises
Xuebin Lu, Wanyang Dai
In this paper, we investigate stochastic partial differential equations driven by multi-parameter anisotropic fractional Levy noises, including the stochastic Poisson equation, the…
math.PR2014
Mean-variance hedging based on an incomplete market with external risk factors of non-Gaussian OU processes
Wanyang Dai
In this paper, we prove the global risk optimality of the hedging strategy of contingent claim, which is explicitly (or called semi-explicitly) constructed for an incomplete financ…