3 papers
stat.ME2026
Measures of Reliability Risk for the Australian Energy Sector
John Boland, Matthias Fresacher, David Hill +6
The article identifies the desired properties of the reliability risk metric for the Australian Energy Sector. It proposes a comprehensive set of metrics designed to measure variou…
math.PR2025
No arbitrage assumption implies the differentiability of derivative pricing function
Kihun Nam, Yunxi Xu
In this article, we show necessary and sufficient conditions for a function to transform a continuous Markov semimartingale to a semimartingale. As a result, the no-arbitrage princ…
math.PR2024
Strong solutions of mean-field FBSDEs and their applications to multi-population mean-field games
Kihun Nam, Yunxi Xu
We study the existence of strong solutions for mean-field forward-backward stochastic differential equations (FBSDEs) with measurable coefficients and their implication on the Nash…