9 citations · 26 across the 36 of their papers we have counts for
44 papers
Global Structure and Local Specifications in Sublinear Valuation
Jongjin Park, David Criens, Hyungbin Park
This work studies the relationships among sublinear valuation rules, uncertainty structures, and local specifications in a time-homogeneous Markovian framework with killing. These…
An -Variational Formula on Wiener Space
David Criens, Carsten Hartmann, Michael Kupper
We establish a stochastic control representation for -norms on Wiener space. For every and every non-negative universally measurable functional , we show that $$\|φ…
On the hedging problem in general 1D diffusion markets
Alexis Anagnostakis, David Criens, Mikhail Urusov
We develop a PDE-based methodology for pricing and hedging European contingent claims in general one-dimensional diffusion markets characterized solely by their scale function and…
A Small-Noise Analysis of Controlled Functional Differential Equations with Gaussian Noise
David Criens, Max Nendel
We study small-noise asymptotics for controlled functional differential equations driven by additive Gaussian noise. The Gaussian noise is modeled on an abstract Wiener space, cove…
Risk-sensitive exit-time control for stochastic differential equations with path-dependent coefficients
David Criens, Fabian Fuchs
In this work, we study small-noise asymptotics of risk-sensitive exit-time control problems governed by stochastic differential equations with path-dependent coefficients. Our main…
On the structure of increasing profits in a 1D general diffusion market with interest rates
Alexis Anagnostakis, David Criens, Mikhail Urusov
In this paper, we investigate a financial market model consisting of a risky asset, modeled as a general diffusion parameterized by a scale function and a speed measure, and a bank…