53 citations · 134 across the 31 of their papers we have counts for
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q-fin.RM2023★ 1 cited
Time consistency of dynamic risk measures and dynamic performance measures generated by distortion functions
Tomasz R. Bielecki, Igor Cialenco, Hao Liu
The aim of this work is to study risk measures generated by distortion functions in a dynamic discrete time setup, and to investigate the corresponding dynamic coherent acceptabili…
math.PR2023
The two-sided exit problem for an additive functional of a time-inhomogeneous Markov chain
Tomasz R. Bielecki, Ziteng Cheng, Ruoting Gong
We consider an additive functional driven by a time-inhomogeneous Markov chain with a finite state space. Our study focuses on the joint distribution of the two-sided exit time and…