2 papers
math.PR2025
Stochastic Integration on Stochastic Sets of Interval Type and Applications to Mathematical Finance
Jia Yue, Ming-Hui Wang, Nan-Jing Huang
In the existing works, stochastic sets of interval type, along with -stochastic processes, were introduced within the framework of stochastic analysis. In…
math.OC2024
Optimal Control Problems Governed by MFSDEs with multi-defaults
Zhun Gou, Nan-jing Huang, Ming-hui Wang +1
In this paper, we solve an optimal control problem governed by a system of mean-field stochastic differential equations with multiple defaults (MMFSDEs). We transform the global op…