4 papers
Mind the jumps: when 2BSDEs meet semi-martingales
Dylan Possamaï, Marco Rodrigues, Alexandros Saplaouras
We construct an aggregated version of the value processes associated with stochastic control problems, where the criterion to optimise is given by solutions to semi-martingale back…
Robust Hedging of American Options via Aggregated Snell Envelopes
Marco Rodrigues
We construct an aggregator for a family of Snell envelopes in a nondominated framework. We apply this construction to establish a robust hedging duality, along with the existence o…
Absolutely Continuous Curves of Stochastic Processes
Beatrice Acciaio, Daniel Kršek, Gudmund Pammer +1
We study absolutely continuous curves in the adapted Wasserstein space of filtered processes. We provide a probabilistic representation of such curves as flows of adapted processes…
Reflections on BSDEs
Dylan Possamaï, Marco Rodrigues
We prove well-posedness results for backward stochastic differential equations (BSDEs) and reflected BSDEs with an optional obstacle process in the case of appropriately weighted $…