Related papers: Robust optimal problem for dynamic risk measures g…
This paper introduces a new recursive stochastic optimal control problem driven by a forward-backward stochastic differential equations (FBSDEs), where the ter?minal time varies according to the constraints of the state of the forward…
We study a problem of utility maximization under model uncertainty with information including jumps. We prove first that the value process of the robust stochastic control problem is described by the solution of a quadratic-exponential…
This paper shows that penalized backward stochastic differential equation (BSDE), which is often used to approximate and solve the corresponding reflected BSDE, admits both optimal stopping representation and optimal control representation.…
In this paper, we investigate optimal stopping problems in a continuous-time framework where only a discrete set of stopping dates is admissible, corresponding to the Bermudan option, within the so-called exploratory formulation. We…
In this paper, we study the stochastic optimal control problem for control system with time-varying delay. The corresponding stochastic differential equation is a kind of stochastic differential delay equation. We prove the existence and…
This paper deals with the finite horizon optimal control problem for discrete-time Markov jump linear system with input delay. The correlation among the jumping parameters and the input delay are considered simultaneously, which forms the…
In this paper, we consider continuous-time stochastic optimal control problems where the cost is evaluated through a coherent risk measure. We provide an explicit gradient descent-ascent algorithm which applies to problems subject to…
We study an optimal control problem on infinite horizon for a controlled stochastic differential equation driven by Brownian motion, with a discounted reward functional. The equation may have memory or delay effects in the coefficients,…
We study an optimal investment problem under contagion risk in a financial model subject to multiple jumps and defaults. The global market information is formulated as a progressive enlargement of a default-free Brownian filtration, and the…
We introduce the resilience rate as a measure of financial resilience. It captures the expected rate at which a dynamic risk measure recovers, i.e., bounces back, when the risk-acceptance set is breached. We develop the corresponding…
In this paper, we, for the first time, establish two comparison theorems for multi-dimensional backward stochastic differential equations with jumps. Our approach is novel and completely different from the existing results for…
It is well known that stability is the most fundamental nature with regard to a control system, in view of this, the stabilization becomes an inevitable control problem. This article mainly discusses the optimal control and stabilization…
This paper is concerned with optimal control of systems driven by G-stochastic differential equations (G-SDEs), with controlled jump term. We study the relaxed problem, in which admissible controls are measurevalued processes and the state…
In this paper, we study reflected backward stochastic difference equations (RBSDEs for short) with finitely many states in discrete time. The general existence and uniqueness result, as well as comparison theorems for the solutions, are…
In this paper, we investigate dynamic optimization problems featuring both stochastic control and optimal stopping in a finite time horizon. The paper aims to develop new methodologies, which are significantly different from those of mixed…
We study a class of backward stochastic differential equations (BSDEs) driven by a random measure or, equivalently, by a marked point process. Under appropriate assumptions we prove well-posedness and continuous dependence of the solution…
We discuss a general dynamic replication approach to counterparty credit risk modeling. This leads to a fundamental jump-process backward stochastic differential equation (BSDE) for the credit risk adjusted portfolio value. We then reduce…
A robust control problem is considered in this paper, where the controlled stochastic differential equations (SDEs) include ambiguity parameters and their coefficients satisfy non-Lipschitz continuous and non-linear growth conditions, the…
In this paper, we study the delayed stochastic recursive optimal control problem with a non-Lipschitz generator, in which both the dynamics of the control system and the recursive cost functional depend on the past path segment of the state…
The present paper studies a kind of robust optimization problems with constraint. The problem is formulated through Backward Stochastic Differential Equations (BSDEs) with quadratic generators. A necessary condition is established for the…