23 citations · 127 across the 56 of their papers we have counts for
4 papers · 2 filters
Solutions for Functional Fully Coupled Forward-Backward Stochastic Differential Equations
Shaolin Ji, Shuzhen Yang
In this paper, we study a functional fully coupled forward-backward stochastic differential equations (FBSDEs). Under a new type of integral Lipschitz and monotonicity conditions,…
Reflected Backward Stochastic Difference Equations and Optimal Stopping Problems under g-expectation
Lifen An, Samuel N. Cohen, Shaolin Ji
In this paper, we study reflected backward stochastic difference equations (RBSDEs for short) with finitely many states in discrete time. The general existence and uniqueness resul…
A note on pricing of contingent claims under G-expectation
Mingshang Hu, Shaolin Ji
In this paper, we study the pricing of contingent claims under G-expectation. In order to accomodate volatility uncertainty, the price of the risky security is supposed to governed…
The Dupire derivatives and Fréchet derivatives on continuous pathes
Shaolin Ji, Shuzhen Yang
In this paper, we study the relation between Fréchet derivatives and Dupire derivatives, in which the latter are recently introduced by Dupire [4]. After introducing the definition…