5 papers
Variation and Hausdorff dimension of fractional Wiener-Weierstrass bridges
Alexander Schied, Zhenyuan Zhang
Fractional Wiener--Weierstrass bridges are a class of Gaussian processes obtained by replacing trigonometric functions in the construction of classical Weierstrass functions by fra…
Dynamic Lagrange Multipliers in a Non-concave Utility Framework
Yang Liu, Alexander Schied, Zhenyu Shen
In continuous-time portfolio selection for non-concave utility functions, the martingale duality approach is widely adopted in complete markets, while the dynamic programming appro…
Lambda Value-at-Risk under ambiguity and risk sharing
Peng Liu, Alexander Schied
In this paper, we investigate the Lambda Value-at-Risk (VaR) under ambiguity, where the ambiguity is represented by a family of probability measures. We establish that for incre…
Sample Path Properties of the Fractional Wiener--Weierstrass Bridge
Alexander Schied, Zhenyuan Zhang
Fractional Wiener--Weierstrass bridges are a class of Gaussian processes that arise from replacing the trigonometric function in the construction of classical Weierstrass functions…
The perturbation method applied to a robust optimization problem with constraint
Peng Luo, Alexander Schied, Xiaole Xue
The present paper studies a kind of robust optimization problems with constraint. The problem is formulated through Backward Stochastic Differential Equations (BSDEs) with quadrati…