1 citations · 2 across the 5 of their papers we have counts for
5 papers
On Information Controls
Zihao Gu, Jianfeng Zhang
In this paper we study an optimization problem in which the control is information, more precisely, the control is a -algebra or a filtration. In a dynamic setting, we establish…
-BSDEs with mean constraints in time-dependent intervals
Zihao Gu, Hui Zhao
In this paper, we study a collection of mean-reflected backward stochastic differential equations driven by -Brownian motions (-BSDEs), where -expectations are constrained…
Reflected BSDE driven by a marked point process with a convex/concave generator
Yiqing Lin, Zihao Gu, Kun Xu
In this paper, a class of reflected backward stochastic differential equations (RBSDE) driven by a marked point process (MPP) with a convex/concave generator is studied. Based on f…
Mean reflected BSDE driven by a marked point process and application in insurance risk management
Zihao Gu, Yiqing Lin, Kun Xu
This paper aims to solve a super-hedging problem along with insurance re-payment under running risk management constraints. The initial endowment for the super-heding problem is ch…
Exponential growth BSDE driven by a marked point process
Zihao Gu, Yiqing Lin, Kun Xu
In this study, we investigate the well-posedness of exponential growth backward stochastic differential equations (BSDEs) driven by a marked point process (MPP) under unbounded ter…