168 citations · 460 across the 9 of their papers we have counts for
Showing 2009Show all
2 papers · 1 filter
q-fin.CP2009★ 5 cited
BSDEs with random default time and their applications to default risk
Shige Peng, Xiaoming Xu
In this paper we are concerned with backward stochastic differential equations with random default time and their applications to default risk. The equations are driven by Brownian…
math.PR2009★ 4 cited
On the Representation Theorem of G-Expectations and Paths of G--Brownian Motion
Mingshang Hu, Shige Peng
We give a very simple and elementary proof of the existence of a weakly compact family of probability measures to represent an important sublinear expectation--G-e…