Dr Kihun Nam
My research focus is backward stochastic differential equations (BSDEs), which appear in optimal controls of dynamic random systems. In addition to traditional applications such as stochastic control and financial derivative pricing, Multidimensional Superlinear BSDEs, which is of my main focus, can be used to investigate the following problems: the price of financial derivatives, price-impact models, x-value adjustment (xVA), Nash equilibrium of the stochastic differential game, mean-field game theory, and Machine-learning algorithm for parabolic PDEs. I also have a general interest in various area of stochastic analysis such as time-changed Levy process, dynamic random graph, and mathematical neuroscience.
 Nam, Kihun. "Global Well-posedness of Non-Markovian Multidimensional Superquadratic BSDE". Pre-print. 2020. https://arxiv.org/abs/1912.03692
 Fallahgoul, Hasan ; Nam, Kihun. "Time-Changed Lévy Processes and Option Pricing: A Critical Comment". Pre-print. 2019. https://dx.doi.org/10.2139/ssrn.3226748
 Cheridito, Patrick ; Nam, Kihun. "Bse'S, Bsde'S and fixed-point problems". In: Annals of Probability. 2017 ; Vol. 45, No. 6A. pp. 3795-3828. https://doi.org/10.1214/16-AOP1149
 Cheridito, Patrick ; Nam, Kihun. "Multidimensional quadratic and subquadratic BSDEs with special structure". In: Stochastics: An International Journal of Probability and Stochastic Processes. 2015 ; Vol. 87, No. 5. pp. 871-884. https://doi.org/10.1080/17442508.2015.1013959
 Cheridito, Patrick ; Nam, Kihun. "BSDEs with terminal conditions that have bounded Malliavin derivative". In: Journal of Functional Analysis. 2014 ; Vol. 266, No. 3. pp. 1257-1285. https://doi.org/10.1016/j.jfa.2013.12.004