4 citations · 7 across the 6 of their papers we have counts for
4 papers · 1 filter
Mean-field reflected BSDEs driven by a marked point process
Yiqing Lin, Kun Xu
In this paper, we study a class of mean-field reflected backward stochastic differential equations (MFRBSDEs) driven by a marked point process. Based on a g-expectation representat…
Reflected BSDE driven by a marked point process with a convex/concave generator
Yiqing Lin, Zihao Gu, Kun Xu
In this paper, a class of reflected backward stochastic differential equations (RBSDE) driven by a marked point process (MPP) with a convex/concave generator is studied. Based on f…
Mean reflected BSDE driven by a marked point process and application in insurance risk management
Zihao Gu, Yiqing Lin, Kun Xu
This paper aims to solve a super-hedging problem along with insurance re-payment under running risk management constraints. The initial endowment for the super-heding problem is ch…
Lyapunov-type conditions and stochastic differential equations driven by -Brownian motion
Xinpeng Li, Xiangyun Lin, Yiqing Lin
This paper studies the solvability and the stability of stochastic differential equations driven by G-Brownian motion (GSDEs). In particular, the existence and uniqueness of the so…