Rainer Buckdahn
Pathwise Taylor Expansions for It\^o Random Fields.
Fri, 08/20/2010 - 15:01 — SomNambulAuthors: Rainer Buckdahn, Jin Ma, Ingo Bulla
Subjects: Probability
AbstractIn this paper we study the {\it pathwise stochastic Taylor expansion}, in the
sense of our previous work \cite{Buckdahn_Ma_02}, for a class of It\^o-type
random fields in which the diffusion part is allowed to contain both the random
field itself and its spatial derivatives. Random fields of such an
"self-exciting" type particularly contains the fully nonlinear stochastic PDEs
of curvature driven diffusion, as well as certain stochastic
Hamilton-Jacobi-Bellman equations.Inf-convolution of G-expectations.
Thu, 10/29/2009 - 16:01 — SomNambulAuthors: Rainer Buckdahn, Xuepeng Bai
Subjects: Risk Management
AbstractIn this paper we will discuss the optimal risk transfer problems when risk
measures are generated by G-expectations, and we present the relationship
between inf-convolution of G-expectations and the inf-convolution of drivers G.Mean-field backward stochastic differential equations: A limit approach.
Mon, 08/31/2009 - 17:16 — SomNambulAuthors: Rainer Buckdahn, Boualem Djehiche, Juan Li, Shige Peng
Subjects: Probability
AbstractMathematical mean-field approaches play an important role in different fields
of Physics and Chemistry, but have found in recent works also their application
in Economics, Finance and Game Theory.
User login
