activity
20102023
most citedBackward stochastic differential equations under super linear G-expectation and associated Hamilton-Jacobi-Bellman equations

3 citations · 6 across the 8 of their papers we have counts for

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Showing 2014Show all

2 papers · 1 filter

q-fin.PR2014

Robust valuation and risk measurement under model uncertainty

Yuhong Xu

Model uncertainty is a type of inevitable financial risk. Mistakes on the choice of pricing model may cause great financial losses. In this paper we investigate financial markets w…

math.OC2014

Differential games with asymmetric information and without Isaacs condition

Rainer Buckdahn, Marc Quincampoix, Catherine Rainer +1

We investigate a two-player zero-sum differential game with asymmetric information on the payoff and without Isaacs condition. The dynamics is an ordinary differential equation par…