Browsing Matematisk institutt by Author "Zhang, Yinglin"

Now showing items 1-1 of 1

  • Reduced-form framework under model uncertainty 
    Biagini, Francesca; Zhang, Yinglin (Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2019)
    In this paper, we introduce a sublinear conditional expectation with respect to a family of possibly nondominated probability measures on a progressively enlarged filtration. In this way, we extend the classic reduced-form ...