5 papers
Non-smooth analysis method in optimal investment- a BSDE approach
Helin Wu, Yong Ren
In this paper, our aim is to investigate necessary conditions for optimal investment. We model the wealth process by Backward differential stochastic equations (shortly for BSDE) w…
Dynkin game under ambiguity in continuous time
Helin Wu
In this paper, we want to investigate some kind of Dynkin's game under ambiguity which is represented by Backward Stochastic Differential Equation (shortly BSDE) with standard gene…
Optimal stopping under g_Γexpectation
Helin Wu
In this paper, we solve the existence problem of optimal stopping problem under some kind of nonlinear expectation named g_Γexpectation which was recently introduced in Peng, S.G.…
Inf-convolution of g_Γ-solution and its applications
Yuanyuan Sui, Helin Wu
A risk-neutral method is always used to price and hedge contingent claims in complete market, but another method based on utility maximization or risk minimization is wildly used i…
Continuous dependence property of BSDE with constraints
Helin Wu, Yong Ren, Feng Hu
In this paper, we study continuous properties of adapted solutions for backward stochastic differential equations with constraints (CBSDEs in short). Comparing with many existing l…