29 citations · 29 across the 2 of their papers we have counts for
2 papers
math.PR2009★ 29 cited
Weak solutions for forward--backward SDEs--a martingale problem approach
Jin Ma, Jianfeng Zhang, Ziyu Zheng
In this paper, we propose a new notion of Forward--Backward Martingale Problem (FBMP), and study its relationship with the weak solution to the forward--backward stochastic differe…
q-fin.PM2009
State-dependent utility maximization in Lévy markets
Jose E. Figueroa-Lopez, Jin Ma
We revisit Merton's portfolio optimization problem under boun-ded state-dependent utility functions, in a market driven by a Lévy process extending results by Karatzas et. al.…