2 citations · 3 across the 3 of their papers we have counts for
6 papers · 1 filter
Propagation of chaos for mean-field reflected BSDEs with jumps
Yiqing Lin, Kun Xu
In this paper, we study a class of mean-field reflected backward stochastic differential equations (MF-RBSDEs) driven by a marked point process and also analyze MF-RBSDEs driven by…
Particle systems for mean reflected BSDEs with jumps
Yiqing Lin, Kun Xu
In this paper, we study the mean reflected backward stochastic differential equations with jump (BSDEJs). We extend the work of Briand and Hibon on the propagation of chaos for mea…
Mean-field reflected BSDEs driven by a marked point process
Yiqing Lin, Kun Xu
In this paper, we study a class of mean-field reflected backward stochastic differential equations (MFRBSDEs) driven by a marked point process. Based on a g-expectation representat…
Reflected BSDE driven by a marked point process with a convex/concave generator
Yiqing Lin, Zihao Gu, Kun Xu
In this paper, a class of reflected backward stochastic differential equations (RBSDE) driven by a marked point process (MPP) with a convex/concave generator is studied. Based on f…
Mean reflected BSDE driven by a marked point process and application in insurance risk management
Zihao Gu, Yiqing Lin, Kun Xu
This paper aims to solve a super-hedging problem along with insurance re-payment under running risk management constraints. The initial endowment for the super-heding problem is ch…
Exponential growth BSDE driven by a marked point process
Zihao Gu, Yiqing Lin, Kun Xu
In this study, we investigate the well-posedness of exponential growth backward stochastic differential equations (BSDEs) driven by a marked point process (MPP) under unbounded ter…