19 citations · 43 across the 20 of their papers we have counts for
Showing 2015 · math.PRShow all
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math.PR2015★ 9 cited
Incomplete stochastic equilibria for dynamic monetary utility
Constantinos Kardaras, Hao Xing, Gordan Žitković
We study existence and uniqueness of continuous-time stochastic Radner equilibria in an incomplete market model among a group of agents whose preference is characterized by cash in…
math.PR2015★ 3 cited
BSDEs with diffusion constraint and viscous Hamilton-Jacobi equations with unbounded data
Andrea Cosso, Huyên Pham, Hao Xing
We provide a stochastic representation for a general class of viscous Hamilton-Jacobi (HJ) equations, which has convexity and superlinear nonlinearity in its gradient term, via a t…
math.PR2015★ 2 cited
Consumption investment optimization with Epstein-Zin utility in incomplete markets
Hao Xing
In a market with stochastic investment opportunities, we study an optimal consumption investment problem for an agent with recursive utility of Epstein-Zin type. Focusing on the em…