30 citations · 100 across the 9 of their papers we have counts for
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q-fin.PR2012★ 1 cited
Singular Forward-Backward Stochastic Differential Equations and Emissions Derivatives
Rene Carmona, Francois Delarue, Gilles-Edouard Espinosa +1
We introduce two simple models of forward-backward stochastic differential equations with a singular terminal condition and we explain how and why they appear naturally as models f…
math.PR2012★ 17 cited
Optimal Stopping under Nonlinear Expectation
Ibrahim Ekren, Nizar Touzi, Jianfeng Zhang
Let be a bounded càdlàg process with positive jumps defined on the canonical space of continuous paths. We consider the problem of optimal stopping the process under a nonl…