3 citations · 6 across the 8 of their papers we have counts for
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q-fin.RM2010★ 2 cited
Multidimensional dynamic risk measure via conditional g-expectation
Yuhong Xu
This paper deals with multidimensional dynamic risk measures induced by conditional -expectations. A notion of multidimensional -expectation is proposed to provide a multidim…
math.PR2010★ 3 cited
Backward stochastic differential equations under super linear G-expectation and associated Hamilton-Jacobi-Bellman equations
Yuhong Xu
This paper first studies super linear G-expectation. Uniqueness and existence theorem for backward stochastic differential equations (BSDEs) under super linear expectation is estab…