2 papers
q-fin.RM2025
Superhedging under Proportional Transaction Costs in Continuous Time
Atiqah Almuzaini, Çağın Ararat, Jin Ma
We revisit the well-studied superhedging problem under proportional transaction costs in continuous time using the recently developed tools of set-valued stochastic analysis. By re…
math.PR2024
Set-Valued Stochastic Differential Equations with Unbounded Coefficients
Atiqah Almuzaini, Jin Ma
In this paper, we mainly focus on the set-valued (stochastic) analysis on the space of convex, closed, but possibly unbounded sets, and try to establish a useful theoretical framew…