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math.PR2025
No arbitrage assumption implies the differentiability of derivative pricing function
Kihun Nam, Yunxi Xu
In this article, we show necessary and sufficient conditions for a function to transform a continuous Markov semimartingale to a semimartingale. As a result, the no-arbitrage princ…
math.PR2024
Strong solutions of mean-field FBSDEs and their applications to multi-population mean-field games
Kihun Nam, Yunxi Xu
We study the existence of strong solutions for mean-field forward-backward stochastic differential equations (FBSDEs) with measurable coefficients and their implication on the Nash…
math.PR2021
Coupled FBSDEs with Measurable Coefficients and its Application to Parabolic PDEs
Kihun Nam, Yunxi Xu
Using purely probabilistic methods, we prove the existence and the uniqueness of solutions fora system of coupled forward-backward stochastic differential equations (FBSDEs) with m…