18 citations · 63 across the 38 of their papers we have counts for
5 papers · 1 filter
BSDEs on finite and infinite horizon with time-delayed generators
Peng Luo, Ludovic Tangpi
We consider a backward stochastic differential equation with a generator that can be subjected to delay, in the sense that its current value depends on the weighted past values of…
Duality for increasing convex functionals with countably many marginal constraints
Daniel Bartl, Patrick Cheridito, Michael Kupper +1
In this work we derive a convex dual representation for increasing convex functionals on a space of real-valued Borel measurable functions defined on a countable product of metric…
Multidimensional Markov FBSDEs with superquadratic growth
Michael Kupper, Peng Luo, Ludovic Tangpi
We give local and global existence and uniqueness results for systems of coupled FBSDEs in the multidimensional setting and with generators allowed to grow arbitrarily fast in the…
Portfolio Optimization under Nonlinear Utility
Gregor Heyne, Michael Kupper, Ludovic Tangpi
This paper studies the utility maximization problem of an agent with non-trivial endowment, and whose preferences are modeled by the maximal subsolution of a BSDE. We prove existen…
Representation of increasing convex functionals with countably additive measures
Patrick Cheridito, Michael Kupper, Ludovic Tangpi
We derive two types of representation results for increasing convex functionals in terms of countably additive measures. The first is a max-representation of functionals defined on…