4 papers
Aggregation of value processes for semi-martingale BSDEs with jumps
Dylan Possamaï, Marco Rodrigues, Alexandros Saplaouras
We construct a measurable aggregator for the value processes associated with stochastic control problems, where the criterion to optimise is given by solutions to semi-martingale b…
Mind the jumps: well-posedness of semi-martingale 2BSDEs
Dylan Possamaï, Marco Rodrigues, Alexandros Saplaouras
We develop a well-posedness theory for second-order backward stochastic differential equations (2BSDEs) with jumps. This work covers two complementary notions of solution: an extri…
Robust Hedging of American Options via Aggregated Snell Envelopes
Marco Rodrigues
We construct an aggregator for a family of Snell envelopes in a nondominated framework. We apply this construction to establish a robust hedging duality, along with the existence o…
Absolutely Continuous Curves of Stochastic Processes
Beatrice Acciaio, Daniel Kršek, Gudmund Pammer +1
We study absolutely continuous curves in the adapted Wasserstein space of filtered processes. We provide a probabilistic representation of such curves as flows of adapted processes…