19 citations · 43 across the 20 of their papers we have counts for
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q-fin.PM2012
Stability of the exponential utility maximization problem with respect to preferences
Hao Xing
This paper studies stability of the exponential utility maximization when there are small variations on agent's utility function. Two settings are considered. First, in a general s…
math.PR2012
Point process bridges and weak convergence of insider trading models
Umut Çetin, Hao Xing
We construct explicitly a bridge process whose distribution, in its own filtration, is the same as the difference of two independent Poisson processes with the same intensity and i…