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math.PR2022
-Expectation of Distributions
Mingyu Xu, Zuo Quan Xu, Xun Yu Zhou
We define -expectation of a distribution as the infimum of the -expectations of all the terminal random variables sharing that distribution. We present two special cases for…
math.PR2012
A Note on Indefinite Stochastic Riccati Equations
Zhongmin Qian, Xun Yu Zhou
An indefinite stochastic Riccati Equation is a matrix-valued, highly nonlinear backward stochastic differential equation together with an algebraic, matrix positive definiteness co…