Showing 2024Show all
2 papers · 1 filter
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…
math.OC2024
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…