A mean-field FBSDE theory is proposed to define Theta-expectations over non-convex uncertainty sets, with well-posedness and non-subadditivity claimed.
Frédéric Bonnans and Alexander Shapiro, Perturbation analysis of optimization problems, Springer Series in Operations Research and Financial Engineering, Springer, New York, 2013
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
fields
math.PR 1years
2025 1verdicts
REJECT 1representative citing papers
citing papers explorer
-
A Mean-Field Theory of $\Theta$-Expectations
A mean-field FBSDE theory is proposed to define Theta-expectations over non-convex uncertainty sets, with well-posedness and non-subadditivity claimed.