53 citations · 122 across the 24 of their papers we have counts for
Showing 2014 · math.PRShow all
2 papers · 2 filters
math.PR2014★ 7 cited
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…
math.PR2014
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…