17019
Hanwu Li, Shige Peng, Abdoulaye Soumana Hima PDF
Reflected Solutions of BSDEs Driven by $G$-Brownian Motion
Project:
C3
Published: Science China Mathematics 61 (2018), 1–26
X
Reflected Solutions of BSDEs Driven by $G$-Brownian Motion
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17031
Patrick Beißner, Qian Lin, Frank Riedel PDF
Dynamically Consistent Alpha-Maxmin Expected Utility
Project:
C3
Published: Mathematical Finance 30 (2020), 1073–1102
X
Dynamically Consistent Alpha-Maxmin Expected Utility
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17034
Miryana Grigorova, Peter Imkeller, Youssef Ouknine, Marie-Claire Quenez PDF
Doubly Reflected BSDEs and $\mathcal{E}^f$-Dynkin Games: Beyond the Right-continuous Case
Project:
C3
Published: Electronic Journal of Probability 23 (2018), 122: 1–38
X
Doubly Reflected BSDEs and $\mathcal{E}^f$-Dynkin Games: Beyond the Right-continuous Case
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17035
Miryana Grigorova, Peter Imkeller, Youssef Ouknine, Marie-Claire Quenez PDF
Optimal Stopping with $f$-Expectations: the Irregular Case
Project:
C3
Published: Stochastic Processes and their Applications 130 (2020), 1258–1288
X
Optimal Stopping with $f$-Expectations: the Irregular Case
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18003
Jan-Henrik Steg, Jacco Thijssen PDF
Strategic investment with positive externalities
Project:
C3
Published: Games and Economic Behavior 138 (2023), 1–21
X
Strategic investment with positive externalities
|
18021
Jan-Henrik Steg PDF
Preemptive Investment under Uncertainty
Project:
C3
Published: Games and Economic Behavior 110 (2018), 90–119
X
Preemptive Investment under Uncertainty
|
18047
Julian Hölzermann PDF
The Hull-White model under volatility uncertainty
Project:
C3
To appear: Quantitative Finance (2021)
X
The Hull-White model under volatility uncertainty
|
18051
Hanwu Li PDF
Optimal Stopping under G-expectation
Project:
C3
X
Optimal Stopping under G-expectation
|
18057
Miryana Grigorova, Marie-Claire Quenez, Agnès Sulem PDF
Superhedging prices of European and American options in a non-linear incomplete market with default
Project:
C3
X
Superhedging prices of European and American options in a non-linear incomplete market with default
|
19003
Lazar Obradovic PDF
Locally Constant Model Uncertainty Risk
Project:
C3
X
Locally Constant Model Uncertainty Risk
|
19010
Julian Hölzermann, Qian Lin PDF
Term Structure Modeling under Volatility Uncertainty: A Forward Rate Model driven by G-Brownian Motion
Project:
C3
To appear: Mathematics and Financial Economics (2021)
X
Term Structure Modeling under Volatility Uncertainty: A Forward Rate Model driven by G-Brownian Motion
|
19011
Tolulope Fadina, Thorsten Schmidt PDF
Default Ambiguity
Project:
C3
|
19014
Salvatore Federico, Giorgio Ferrari, Frank Riedel, Michael Röckner PDF
On a Class of Infinite-Dimensional Singular Stochastic Control Problems
Project:
B1, C3, C4
Published: SIAM Journal on Control and Optimization 59 (2021), 1680–1704
X
On a Class of Infinite-Dimensional Singular Stochastic Control Problems
|
19015
Qian Lin, Frank Riedel PDF
Optimal consumption and portfolio choice with ambiguous interest rates and volatility
Project:
C3
Published: Economic Theory (2020), 1-14
X
Optimal consumption and portfolio choice with ambiguous interest rates and volatility
|
19034
Bodo Rubbenstroth PDF
Game Options under Knightian Uncertainty in Discrete Time
Project:
C3
X
Game Options under Knightian Uncertainty in Discrete Time
|
19095
Hanwu Li, Shige Peng PDF
Reflected backward stochastic differential equation driven by G-Brownian motion with an upper obstacle
Project:
C3, C5
Published: Stochastic Processes and their Applications 130, no. 11 (2020), 6556--6579
X
Reflected backward stochastic differential equation driven by G-Brownian motion with an upper obstacle
|
20023
Hanwu Li, Yongsheng Song PDF
Backward Stochastic Differential Equations Driven by $\textit{G}$-Brownian Motion with Double Reflections
Project:
C3
To appear: Journal of Theoretical Probability. (2020)
X
Backward Stochastic Differential Equations Driven by $\textit{G}$-Brownian Motion with Double Reflections
|
20024
Hanwu Li PDF
Optimal Multiple Stopping Problem under Nonlinear Expectation
Project:
C3
To appear: Advances in Applied Probability (2023)
X
Optimal Multiple Stopping Problem under Nonlinear Expectation
|
20026
Hanwu Li, Falei Wang PDF
Stochastic Optimal Control Problem with Obstacle Constraints in Sublinear Expectation Framework
Project:
C3
Published: Journal of Optimization Theory and Applications 183 (2020), 422–439
X
Stochastic Optimal Control Problem with Obstacle Constraints in Sublinear Expectation Framework
|
20028
Julian Hölzermann PDF
Pricing interest rate derivatives under volatility uncertainty
Project:
C3
To appear: Annals of Operations Research (2022)
X
Pricing interest rate derivatives under volatility uncertainty
|
20036
Giorgio Ferrari, Hanwu Li, Frank Riedel PDF
A knightian irreversible investment problem
Project:
C3, C4
Published: Journal of Mathematical Analysis and Applications 507 (2022), 125744, 1–39
X
A knightian irreversible investment problem
|
20094
Giorgio Ferrari, Hanwu Li, Frank Riedel PDF
Optimal Consumption with Intertemporal Substitution under Knightian Uncertainty
Project:
C3, C4
Published: Advances in Applied Probability 54, no. 4 (2022), 1222–1251
X
Optimal Consumption with Intertemporal Substitution under Knightian Uncertainty
|
21025
Miryana Grigorova, Hanwu Li PDF
Stochastic representation under g-expectation and applications: the discrete time case
Project:
C3
Published: Journal of Mathematical Analysis and Applications 518, no. 1 (2023), 1–19 Notes:
Number 126703
X
Stochastic representation under g-expectation and applications: the discrete time case
|
22071
Hanwu Li, Frank Riedel, Shuzhen Yang PDF
Optimal consumption for recursive preferences with local substitution – the case of certainty
Project:
C3
Published: Journal of Mathematical Economics 110 (2024), Article number 102932
X
Optimal consumption for recursive preferences with local substitution – the case of certainty
|
23034
Jan-Henrik Steg, Elshan Garashli, Michael Greinecker, Christoph Kuzmics PDF
Robust equilibria in binary cheap-talk games
Project:
C3
X
Robust equilibria in binary cheap-talk games
|
23116
Hanwu Li PDF
Backward stochastic differential equations with double mean reflections
Project:
C3
Published: Stochastic Processes and their Applications 173 (2024), Article number 104371
X
Backward stochastic differential equations with double mean reflections
|
24014
Jodi Dianetti, Frank Riedel, Lorenzo Maria Stanca PDF
Optimal consumption and investment under relative performance criteria with Epstein-Zin utility
Project:
C3, C4, C5
X
Optimal consumption and investment under relative performance criteria with Epstein-Zin utility
|
24043
Salvatore Federico, Giorgio Ferrari, Frank Riedel, Michael Röckner PDF
Variational inequalities and smooth-fit principle for singular stochastic control problems in Hilbert spaces
Project:
B1, C3, C4
X
Variational inequalities and smooth-fit principle for singular stochastic control problems in Hilbert spaces
|
24067
Hanwu Li, Frank Riedel PDF
Optimal Consumption for Recursive Preferences with Local Substitution under Risk
Project:
C3
X
Optimal Consumption for Recursive Preferences with Local Substitution under Risk
|
24084
Jan-Henrik Steg PDF
Strategic Irreversible Investment
Project:
C3
X
Strategic Irreversible Investment
|
24094
Herbert Dawid, Frank Riedel, Jan-Henrik Steg, Xingang Wen PDF
Cash-constrained R$\&$D investment
Project:
C2, C3
X
Cash-constrained R$\&$D investment
|
