2 papers
q-fin.RM2026
Asymptotic fractional-order stochastic dominance with bounded relative risk aversion
Jiehua Xie, Liulei Sun, Wei Zou
In this paper, we propose a novel asymptotic fractional-order stochastic dominance rule for ranking prospects over a sufficiently long investment horizon. The new rule formulates t…
math.NA2024
Convergence rate of nonlinear delayed neutral McKean-Vlasov SDEs driven by fractional Brownian motions
Shengrong Wang, Jie Xie, Li Tan
In this paper, our main aim is to investigate the strong convergence for a neutral McKean-Vlasov stochastic differential equation with super-linear delay driven by fractional Brown…