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In the past decades, advanced probabilistic methods have had significant impact on the field of finance, both in academia and in the financial industry. Conversely, financial questions have stimulated new research directions in probability.…
We study the regularity properties of integro-partial differential equations of Hamilton-Jocobi-Bellman type with terminal condition, which can be interpreted through a stochastic control system, composed of a forward and a backward…
In the paper, we consider a path-dependent Hamilton-Jacobi equation with coinvariant derivatives over the space of continuous functions. Such equations arise from optimal control problems and differential games for time-delay systems. We…
This paper first describes a class of uncertain stochastic control systems with Markovian switching, and derives an It\^o-Liu formula for Markov-modulated processes. And we characterize an optimal control law, which satisfies the…
We propose a price impact model where changes in prices are purely driven by the order flow in the market. The stochastic price impact of market orders and the arrival rates of limit and market orders are functions of the market liquidity…
Considering that the decision-making environment faced by reinforcement learning (RL) agents is full of Knightian uncertainty, this paper describes the exploratory state dynamics equation in Knightian uncertainty to study the…
Three definitions of viscosity solutions for Hamilton-Jacobi equations on networks recently appeared in literature ([1,4,6]). Being motivated by various applications, they appear to be considerably different. Aim of this note is to…
This study investigates an optimal investment problem for an insurance company operating under the Cramer-Lundberg risk model, where investments are made in both a risky asset and a risk-free asset. In contrast to other literature that…
We consider an illiquid financial market with different regimes modeled by a continuous-time finite-state Markov chain. The investor can trade a stock only at the discrete arrival times of a Cox process with intensity depending on the…
In optimal control problems defined on stratified domains, the dynamics and the running cost may have discontinuities on a finite union of submanifolds of RN. In [8, 5], the corresponding value function is characterized as the unique…
We study a consumption-investment problem in a multi-asset market where the returns follow a generic rank-based model. Our main result derives an HJB equation with Neumann boundary conditions for the value function and proves a…
In this paper, we show that the value functions of mean field control problems with common noise are the unique viscosity solutions to fully second-order Hamilton-Jacobi-Bellman equations, in a Crandall-Lions-like framework. We allow the…
This paper studies the robust reinsurance and investment games for competitive insurers. Model uncertainty is characterized by a class of equivalent probability measures. Each insurer is concerned with relative performance under the…
We consider an optimal stochastic impulse control problem over an infinite time horizon motivated by a model of irreversible investment choices with fixed adjustment costs. By employing techniques of viscosity solutions and relying on…
We present stochastic homogenization results for viscous Hamilton-Jacobi equations using a new argument which is based only on the subadditive structure of maximal subsolutions (solutions of the "metric problem"). This permits us to give…
A new modelling approach that directly prescribes dynamics to the term structure of VIX futures is proposed in this paper. The approach is motivated by the tractability enjoyed by models that directly prescribe dynamics to the VIX,…
In this paper, we study a stochastic recursive optimal control problem in which the value functional is defined by the solution of a backward stochastic differential equation (BSDE) under $\tilde{G}$-expectation. Under standard assumptions,…
In this paper, we introduce Hamilton-Jacobi-Bellman (HJB) equations for Q-functions in continuous time optimal control problems with Lipschitz continuous controls. The standard Q-function used in reinforcement learning is shown to be the…
In this paper, we study a stochastic recursive optimal control problem in which the system is governed by a functional forward-backward stochastic differential equation. Under standard assumptions, we establish the dynamic programming…
This investigation is dedicated to a two-player zero-sum stochastic differential game (SDG), where a cost function is characterized by a backward stochastic differential equation (BSDE) with a continuous and monotonic generator regarding…