3 citations · 3 across the 2 of their papers we have counts for
2 papers
math.OC2017★ 3 cited
A Dual Method For Backward Stochastic Differential Equations with Application to Risk Valuation
Andrzej Ruszczynski, Jianing Yao
We propose a numerical recipe for risk evaluation defined by a backward stochastic differential equation. Using dual representation of the risk measure, we convert the risk valuati…
math.OC2015
Discrete-Time Approximation of Risk-Averse Control Problems for Diffusion Processes
Andrzej Ruszczynski, Jianing Yao
We consider optimal control problems for diffusion processes, where the objective functional is defined by a time-consistent dynamic risk measure. We focus on coherent risk measure…