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math.OC2024
Zero-sum Dynkin games under common and independent Poisson constraints
David Hobson, Gechun Liang, Edward Wang
Zero-sum Dynkin games under Poisson constraints, where players can only stop at the event times of a Poisson process, have been studied widely in the recent literature. The constra…
q-fin.PM2024★ 1 cited
Representation of forward performance criteria with random endowment via FBSDE and its application to forward optimized certainty equivalent
Gechun Liang, Yifan Sun, Thaleia Zariphopoulou
We extend the notion of forward performance criteria to settings with random endowment in incomplete markets. Building on these results, we introduce and develop the novel concept…