53 citations · 134 across the 31 of their papers we have counts for
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math.PR2014★ 15 cited
A unified approach to time consistency of dynamic risk measures and dynamic performance measures in discrete time
Tomasz R. Bielecki, Igor Cialenco, Marcin Pitera
In this paper we provide a flexible framework allowing for a unified study of time consistency of risk measures and performance measures (also known as acceptability indices). The…
math.PR2014★ 1 cited
Joint Hitting-Time Densities for Finite State Markov Processes
Tomasz R. Bielecki, Monique Jeanblanc, Ali Devin Sezer
For a finite state Markov process and a finite collection of subsets of its state space, let be the first time the process visits the set . We deriv…