Set-valued backward stochastic differential equations

Set-valued risk measures as backward stochastic difference inclusions and equations

(2020) Çağın Ararat et al.   FINANCE AND STOCHASTICS

Dual representations for systemic risk measures

(2019) Çağın Ararat et al.   Mathematics and Financial Economics

A unified approach to systemic risk measures via acceptance sets

(2018) Francesca Biagini et al.   MATHEMATICAL FINANCE

Integrably bounded set-valued stochastic integrals

(2017) Michał Kisielewicz et al.   JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS

Measures of Systemic Risk

(2017) Zachary Feinstein et al.   SIAM Journal on Financial Mathematics

Properties of set-valued stochastic differential equations

(2016) Michał Kisielewicz et al.   OPTIMIZATION

Remarks on unboundedness of set-valued Itô stochastic integrals

(2015) Mariusz Michta   JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS

Multi-portfolio time consistency for set-valued convex and coherent risk measures

(2014) Zachary Feinstein et al.   FINANCE AND STOCHASTICS

The interrelation between stochastic differential inclusions and set-valued stochastic differential equations

(2013) Marek T. Malinowski et al.   JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS

Martingale representation theorem for set-valued martingales

(2013) Michał Kisielewicz   JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS

Some properties of set-valued stochastic integrals

(2011) Michał Kisielewicz   JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS

Set-valued risk measures for conical market models

(2011) Andreas H. Hamel et al.   Mathematics and Financial Economics

On Quadraticg-Evaluations/Expectations and Related Analysis

(2010) Jin Ma et al.   STOCHASTIC ANALYSIS AND APPLICATIONS

Time consistent dynamic risk processes

(2008) Jocelyne Bion-Nadal   STOCHASTIC PROCESSES AND THEIR APPLICATIONS