53 citations · 122 across the 24 of their papers we have counts for
9 papers · 1 filter
Well-posedness and penalization schemes for generalized BSDEs and reflected generalized BSDEs
Libo Li, Ruyi Liu, Marek Rutkowski
The paper is directly motivated by the pricing of vulnerable European and American options in a general hazard process setup and a related study of the corresponding pre-default ba…
Generalized BSDEs with random time horizon in a progressively enlarged filtration
Anna Aksamit, Libo Li, Marek Rutkowski
We study generalized backward stochastic differential equations (BSDEs) up to a random time horizon , which is not a stopping time, under minimal assumptions regarding t…
Reflected BSDEs and doubly reflected BSDEs driven by RCLL martingales
Tianyang Nie, Marek Rutkowski
We prove some new results on reflected BSDEs and doubly reflected BSDEs driven by a multi-dimensional RCLL martingale. The goal is to develop a general multi-asset framework encomp…
Existence, uniqueness and strict comparison theorems for backward stochastic differential equations driven by RCLL martingales
Tianyang Nie, Marek Rutkowski
Results on the existence, uniqueness and strict comparison for solutions to a BSDE driven by a multi-dimensional RCLL martingale are established. The goal is to develop a general m…
Integral representations of martingales for progressive enlargements of filtrations
Anna Aksamit, Monique Jeanblanc, Marek Rutkowski
We work in the setting of the progressive enlargement of a reference filtration through the observation of a random time . We study an integral represent…
BSDEs driven by a multi-dimensional martingale and their applications to market models with funding costs
Tianyang Nie, Marek Rutkowski
We establish some well-posedness and comparison results for BSDEs driven by one- and multi-dimensional martingales. On the one hand, our approach is largely motivated by results an…
Stochastic Multi-player Competitive Games in Discrete Time
Ivan Guo, Marek Rutkowski
A new class of multi-player competitive stochastic games in discrete-time with an affine specification of the redistribution of payoffs at exercise is proposed and examined. Our ga…
Progressive Enlargements of Filtrations with Pseudo-Honest Times and their Applications in Financial Mathematics
Libo Li, Marek Rutkowski
We deal with various alternative decompositions of F-martingales with respect to the filtration G which represents the enlargement of a filtration F by a progressive flow of observ…
Pricing and trading credit default swaps in a hazard process model
Tomasz R. Bielecki, Monique Jeanblanc, Marek Rutkowski
In the paper we study dynamics of the arbitrage prices of credit default swaps within a hazard process model of credit risk. We derive these dynamics without postulating that the i…