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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…