14 citations · 23 across the 7 of their papers we have counts for
Showing 2012Show all
3 papers · 1 filter
q-fin.PM2012
Dynamic quasi-concave performance measures
Sara Biagini, Jocelyne Bion-Nadal
We define Conditional quasi concave Performance Measures (CPMs), on random variables bounded from below, to accommodate for additional information. Our notion encompasses a wide va…
math.PR2012
A new probabilistic approach to non local and fully non linear second order partial differential equations
Jocelyne Bion-Nadal
We prove that weakly continuous solutions to martingale problems admit a canonical regular conditional probability distribution. This allows for the construction of time consistent…
math.PR2012★ 6 cited
Time consistent convex Feller processes and non linear second order partial differential equations
Jocelyne Bion-Nadal
This paper shows how the theory of dynamic risk measures provides viscosity solutions to a family of second-order parabolic partial differential equations, even in the degenerate c…