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math.PR2023★ 1 cited
A mean-field version of Bank-El Karoui's representation of stochastic processes
Xihao He, Xiaolu Tan, Jun Zou
We study a mean-field version of Bank-El Karoui's representation theorem of stochastic processes. Under different technical conditions, we establish some existence and uniqueness r…
math.PR2021
An exit contract optimization problem
Xihao He, Xiaolu Tan, Jun Zou
We study an exit contract design problem, where one provides a universal exit contract to multiple heterogeneous agents, with which each agent chooses an optimal (exit) stopping ti…