4 citations · 13 across the 11 of their papers we have counts for
11 papers
A note on convergence rate for reflected BSDEs with quadratic generators by penalization method
Guangyan Jia, Peng Luo, Mengbo Zhu
In this paper, we study the convergence rate between reflected backward stochastic differential equations with quadratic generators and their penalized BSDEs. Using techniques of B…
On the Correspondence and the Risk Contribution for Conditional Coherent and Deviation Risk Measures
Guangyan Jia, Mengjin Zhao
We give an axiomatic framework for conditional generalized deviation measures. Under financially reasonable assumptions, we give the correspondence between conditional coherent ris…
Monetary Risk Measures
Guangyan Jia, Jianming Xia, Rongjie Zhao
In this paper, we study general monetary risk measures (without any convexity or weak convexity). A monetary (respectively, positively homogeneous) risk measure can be characterize…
Continuous-Time Risk Contribution of the Terminal Variance and its Related Risk Budgeting Problem
Mengjin Zhao, Guangyan Jia
To achieve robustness of risk across different assets, risk parity investing rules, a particular state of risk contributions, have grown in popularity over the previous few decades…
On monotonicity and order-preservation for multidimensional G-diffusion processes
Peng Luo, Guangyan Jia
In this paper, we prove a comparison theorem for multidimensional G-SDEs. Moreover we obtain respectively the sufficient conditions and necessary conditions of the monotonicity and…
A note on characterizations of G-normal distribution
Peng Luo, Guangyan Jia
In this paper, we show that the G-normality of X and Y can be characterized according to the form of f such that the distribution of λ+f(λ)Y does not depend on λ, where Y is an ind…