12 citations · 17 across the 11 of their papers we have counts for
14 papers
Kyle meets time-inconsistency: a dynamic mean--variance informed trading problem
Shuoqing Deng, Zhichao Luo, Zhenhua Wang
We study a Kyle--Back model in which the informed trader has dynamic mean--variance preferences, leading to a time-inconsistent trading problem that is formulated as an intraperson…
Distribution-constrained optimal multiple stopping: the Root-type solution
Shuoqing Deng, Daxin Huang
We consider the distribution-constrained optimal stopping problem introduced by Bayraktar and Miller (Mathematical Finance, 2019) and Beiglbock et al. (PTRF, 2018). Motivated by th…
Convex ordering for graphon mean-field systems
Daorong Cui, Shuoqing Deng, Yang Xiang
We establish marginal and functional convex order comparisons for graphon mean-field systems on , including the infinite-horizon setting. A key difficulty is that con…
Graphon Mean Field Game of mutual holding
Daorong Cui, Shuoqing Deng, Yang Xiang
This paper studies the mean field game of mutual holding proposed by Djete and Touzi(AAP, 2024), and consider the case where the interactions among agents are described by a grapho…
Stability of supermartingale optimal transport problems
Shuoqing Deng, Gaoyue Guo, Dominykas Norgilas
We investigate stability properties of weak supermartingale optimal transport (WSOT) problems on . For probability measures satisfying $μ\leq_{cd}…
On time-consistent equilibrium stopping under aggregation of diverse discount rates
Shuoqing Deng, Xiang Yu, Jiacheng Zhang
This paper studies a central planner's decision making on behalf of a group of members with diverse discount rates. In the context of optimal stopping, we work with an aggregation…
Supermartingale Brenier's Theorem with full-marginals constraint
Erhan Bayraktar, Shuoqing Deng, Dominykas Norgilas
We explicitly construct the supermartingale version of the Fr{é}chet-Hoeffding coupling in the setting with infinitely many marginal constraints. This extends the results of Henry-…
Supermartingale shadow couplings: the decreasing case
Erhan Bayraktar, Shuoqing Deng, Dominykas Norgilas
For two measures and that are in convex-decreasing order, Nutz and Stebegg (Canonical supermartingale couplings, Ann. Probab., 46(6):3351--3398, 2018) studied the optimal t…
A potential-based construction of the increasing supermartingale coupling
Erhan Bayraktar, Shuoqing Deng, Dominykas Norgilas
The increasing supermartingale coupling, introduced by Nutz and Stebegg (Canonical supermartingale couplings, Annals of Probability, 46(6):3351--3398, 2018) is an extreme point of…
Optimal Consumption with Reference to Past Spending Maximum
Shuoqing Deng, Xun Li, Huyen Pham +1
This paper studies the infinite-horizon optimal consumption with a path-dependent reference under exponential utility. The performance is measured by the difference between the non…
A sparse grid approach to balance sheet risk measurement
Cyril Bénézet, Jérémie Bonnefoy, Jean-François Chassagneux +3
In this work, we present a numerical method based on a sparse grid approximation to compute the loss distribution of the balance sheet of a financial or an insurance company. We fi…
Utility maximization with proportional transaction costs under model uncertainty
Shuoqing Deng, Xiaolu Tan, Xiang Yu
We consider a discrete time financial market with proportional transaction costs under model uncertainty, and study a numéraire-based semi-static utility maximization problem with…
Super-replication with proportional transaction cost under model uncertainty
Bruno Bouchard, Shuoqing Deng, Xiaolu Tan
We consider a discrete time financial market with proportional transaction cost under model uncertainty, and study a super-replication problem. We recover the duality results that…
Robust pricing--hedging duality for American options in discrete time financial markets
Anna Aksamit, Shuoqing Deng, Jan Obłój +1
We investigate pricing-hedging duality for American options in discrete time financial models where some assets are traded dynamically and others, e.g. a family of European options…