1 citations · 2 across the 5 of their papers we have counts for
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math.PR2023★ 1 cited
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…
math.PR2023
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…
math.PR2023★ 1 cited
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…