JournalTOCs

Probability, Uncertainty and Quantitative Risk
Number of Followers: 2

This is an Open Access Journal

Open Access journal
ISSN (Online) 2367-0126
Published by SpringerOpen

[229 journals]

Fully nonlinear stochastic and rough PDEs: Classical and viscosity
solutions
- Authors: Rainer Buckdahn; Christian Keller, Jin Ma Jianfeng Zhang
  Abstract: We study fully nonlinear second-order (forward) stochastic PDEs. They can also be viewed as forward path-dependent PDEs and will be treated as rough PDEs under a unified framework. For the most general fully n...
  PubDate: 2020-11-03T00:00:00Z
Efficient hedging under ambiguity in continuous time
- Authors: Ludovic Tangpi
  Abstract: It is well known that the minimal superhedging price of a contingent claim is too high for practical use. In a continuous-time model uncertainty framework, we consider a relaxed hedging criterion based on acce...
  PubDate: 2020-08-28T00:00:00Z
Convergence of the deep BSDE method for coupled FBSDEs
- Authors: Jiequn Han; Jihao Long
  Abstract: The recently proposed numerical algorithm, deep BSDE method, has shown remarkable performance in solving high-dimensional forward-backward stochastic differential equations (FBSDEs) and parabolic partial diffe...
  PubDate: 2020-07-22T00:00:00Z
Uncertainty and filtering of hidden Markov models in discrete time
- Authors: Samuel N. Cohen
  Abstract: We consider the problem of filtering an unseen Markov chain from noisy observations, in the presence of uncertainty regarding the parameters of the processes involved. Using the theory of nonlinear expectation...
  PubDate: 2020-06-03T00:00:00Z
Upper risk bounds in internal factor models with constrained specification
sets
- Authors: Jonathan Ansari; Ludger Rüschendorf
  Abstract: For the class of (partially specified) internal risk factor models we establish strongly simplified supermodular ordering results in comparison to the case of general risk factor models. This allows us to deri...
  PubDate: 2020-05-19T00:00:00Z

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