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math.PR2011
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…
math.PR2011
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.…
math.OC2011
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…