most citedReflected BSDE driven by a marked point process with a convex/concave generator

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math.PR2024

-BSDEs with mean constraints in time-dependent intervals

Zihao Gu, Hui Zhao

In this paper, we study a collection of mean-reflected backward stochastic differential equations driven by -Brownian motions (-BSDEs), where -expectations are constrained…

math.PR2023★ 1 cited

Reflected BSDE driven by a marked point process with a convex/concave generator

Yiqing Lin, Zihao Gu, Kun Xu

In this paper, a class of reflected backward stochastic differential equations (RBSDE) driven by a marked point process (MPP) with a convex/concave generator is studied. Based on f…

math.PR2023

Mean reflected BSDE driven by a marked point process and application in insurance risk management

Zihao Gu, Yiqing Lin, Kun Xu

This paper aims to solve a super-hedging problem along with insurance re-payment under running risk management constraints. The initial endowment for the super-heding problem is ch…