130 citations · 216 across the 11 of their papers we have counts for
14 papers
A pathwise approach to semilinear SPDEs with Lévy drivers
Dirk Becherer, Peter Friz, Yuchen Sun
We extend the notion of robust viscosity solutions to semilinear rough partial differential equations (RPDEs) of the form \[ \partial_t u + \mathcal{L}_t u + f(t,x,u,σ^{\top}\nabla…
Viscosity Solutions for Singular HJB Equations: BSDE Representations and Stochastic Control
Dirk Becherer, Nicolas Perkowski, Yuchen Sun +1
We introduce a notion of viscosity solution for Hamilton--Jacobi--Bellman (HJB) equations with distributional drift, based on paracontrolled test functions and related through a Zv…
Rough backward SDEs with discontinuous Young drivers
Dirk Becherer, Yuchen Sun
We study solutions to backward differential equations that are driven hybridly by a deterministic discontinuous rough path of finite -variation for and by Bro…
On Watanabe's characterisation and change of intensity à la Girsanov for Cox processes
Dirk Becherer, Thomas Bernhardt, Pavel Gapeev
We discuss the equivalence of definitions for conditional Poisson processes, Cox processes, and stochastic intensities of point processes on the real line. We show that Watanabe's…
Hedging with physical or cash settlement under transient multiplicative price impact
Dirk Becherer, Todor Bilarev
We solve the superhedging problem for European options in an illiquid extension of the Black-Scholes model, in which transactions have transient price impact and the costs and the…
Approximating diffusion reflections at elastic boundaries
Dirk Becherer, Todor Bilarev, Peter Frentrup
We show a probabilistic functional limit result for one-dimensional diffusion processes that are reflected at an elastic boundary which is a function of the reflection local time.…