3 citations · 8 across the 13 of their papers we have counts for
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math.PR2013
A Note on BSDEs with singular coefficients
Monique Jeanblanc, Anthony Reveillac
In this Note we study a class of BSDEs which admits a particular singularity in their driver. More precisely, we assume that the driver is not integrable and degenerates when appro…
math.PR2013
Risk measures for processes and BSDEs
Irina Penner, Anthony Reveillac
The paper analyzes risk assessment for cash flows in continuous time using the notion of convex risk measures for processes. By combining a decomposition result for optional measur…