This paper develops a new scheme for improving an approximation method of a probability density function, which is inspired by the idea in best approximation in an inner product space. Moreover, we applies “Dykstra's cyclic projections algorithm” for its implementation. Numerical examples...

This paper presents a new asset pricing model incorporating fundamental uncertainties by choice of a probability measure. This approach is novel in that we incorporate uncertainties on Brownian motions describing risks into the existing asset pricing model. Particularly, we show extensions of...

This paper considers a multi-agent optimal investment problem with conservative sentiments in an incomplete market by a BSDE approach. Particularly, we formulate the conservative sentiments of the agents by a sup-inf/inf-sup problem where we take infimum on a choice of a probability measure and...