Showing math.PRShow all
3 papers · 1 filter
math.PR2025
A mean-field version of Bank-El Karoui's representation of stochastic processes
Xihao He, Xiaolu Tan, Jun Zou
We study a mean-field version of Bank-El Karoui's representation theorem of stochastic processes. Under different technical conditions, we establish some existence and uniqueness r…
math.PR2024
An exit contract optimization problem
Xihao He, Xiaolu Tan, Jun Zou
We study an exit contract design problem, where one provides a universal exit contract to multiple heterogeneous agents, with which each agent chooses an optimal (exit) stopping ti…
math.PR2024
A -Itô's formula for flows of semimartingale distributions
Bruno Bouchard, Xiaolu Tan, Jixin Wang
We provide an Itô's formula for -functionals of flows of conditional marginal distributions of continuous semimartingales. This is based on the notion of weak Dirichlet proce…