Zobrazeno 1 - 10
of 74
pro vyhledávání: '"Tian, Dejian"'
The paper investigates the consumption-investment problem for an investor with Epstein-Zin utility in an incomplete market. A non-Markovian environment with unbounded parameters is considered, which is more realistic in practical financial scenarios
Externí odkaz:
http://arxiv.org/abs/2407.19995
In this paper, we introduce a new class of set-valued risk measures, named set-valued star-shaped risk measures. Motivated by the results of scalar monetary and star-shaped risk measures, this paper investigates the representation theorems in the set
Externí odkaz:
http://arxiv.org/abs/2402.18014
Autor:
Tian, Dejian, Wang, Xunlian
Motivated by the results of static monetary or star-shaped risk measures, the paper investigates the representation theorems in the dynamic framework. We show that dynamic monetary risk measures can be represented as the lower envelope of a family of
Externí odkaz:
http://arxiv.org/abs/2305.02481
Autor:
Li, Weiwei, Tian, Dejian
The paper investigates the robust optimized certainty equivalents and analyzes the relevant properties of them as risk measures for loss positions with distribution uncertainty. On this basis, the robust generalized quantiles are proposed and discuss
Externí odkaz:
http://arxiv.org/abs/2304.04396
Autor:
Tian, Dejian
A pricing principle is introduced for non-attainable $q$-exponential bounded contingent claims in an incomplete Brownian motion market setting. The buyer evaluates the contingent claim under the ``distorted Radon-Nikodym derivative'' and adjustment b
Externí odkaz:
http://arxiv.org/abs/2201.05316
Autor:
Feng, Zixin, Tian, Dejian
The paper investigates the consumption-investment problem for an investor with Epstein-Zin utility in an incomplete market. Closed, not necessarily convex, constraints are imposed on strategies. The optimal consumption and investment strategies are c
Externí odkaz:
http://arxiv.org/abs/2111.09032
Autor:
Xiao, Lishun, Tian, Dejian
We investigate a two-player zero-sum stochastic differential game problem with the state process being constrained in a connected bounded closed domain, and the cost functional described by the solution of a generalized backward stochastic differenti
Externí odkaz:
http://arxiv.org/abs/1705.04221
The purpose of this note is to propose a new approach for the probabilistic interpretation of Hamilton-Jacobi-Bellman equations associated with stochastic recursive optimal control problems, utilizing the representation theorem for generators of back
Externí odkaz:
http://arxiv.org/abs/1701.03871
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