3 papers
math.OC2026
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…
q-fin.RM2025
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…
math.PR2024
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…