14 papers
Time-inconsistent reinsurance and investment optimization problem with delay under random risk aversion
Jian-hao Kang, Zhun Gou, Nan-jing Huang
This paper considers a newly delayed reinsurance and investment optimization problem incorporating random risk aversion, in which an insurer pursues maximization of the expected ce…
Nash Equilibria of Noncooperative/Mixed Differential Games with Density Constraints in Infinite Dimensions
Zhun Gou, Nan-Jing Huang, Jian-Hao Kang +1
Motivated by Cournot models, this paper proposes novel models of the noncooperative and cooperative differential games with density constraints in infinite dimensions, where market…
Linear-quadratic stochastic nonzero-sum differential games between graphon teams
De-xuan Xu, Zhun Gou, Nan-jing Huang
We study a class of nonzero-sum stochastic differential games between two teams with agents in each team interacting through graphon aggregates. On the one hand, in each large popu…
Equilibrium reinsurance and investment strategies for insurers with random risk aversion under Heston's SV model
Jian-hao Kang, Zhun Gou, Nan-jing Huang
This study employs expected certainty equivalents to explore the reinsurance and investment issue pertaining to an insurer that aims to maximize the expected utility while being su…
Social Optima in Linear Quadratic Graphon Field Control: Analysis via Infinite Dimensional Approach
De-xuan Xu, Zhun Gou, Nan-jing Huang
This paper is concerned with linear quadratic graphon field social control problem where the noises of individual agents are correlated. Compared with the well-studied mean field s…
Linear-quadratic Stochastic Stackelberg Differential Games with Affine Constraints
Zhun Gou, Nan-Jing Huang, Xian-Jun Long +1
This paper investigates the non-zero-sum linear-quadratic stochastic Stackelberg differential games with affine constraints, which depend on both the follower's response and the le…
Linear-Quadratic Graphon Mean Field Games with Common Noise
De-xuan Xu, Zhun Gou, Nan-jing Huang +1
This paper studies linear quadratic graphon mean field games (LQ-GMFGs) with common noise, in which a large number of agents are coupled via a weighted undirected graph. One specia…
Consumption and portfolio optimization solvable problems with recursive preferences
Jian-hao Kang, Zhun Gou, Nan-jing Huang
This paper considers consumption and portfolio optimization problems with recursive preferences in both infinite and finite time regions. Specially, the financial market consists o…
Stochastic Linear-quadratic Control Problems with Affine Constraints
Zhun Gou, Nan-jing Huang, Xian-jun Long +1
This paper investigates the stochastic linear-quadratic control problems with affine constraints, in which both equality and inequality constraints are involved. With the help of t…
A Linear-quadratic Mean-Field Stochastic Stackelberg Differential Game with Random Exit Time
Zhun Gou, Nan-jing Huang, Ming-hui Wang
In this paper, we investigate a new model of a linear-quadratic mean-field stochastic Stackelberg differential game with one leader and two followers, in which the leader is allowe…
Set-valued Ito's formula with an application to the general set-valued backward stochastic differential equation
Yao-jia Zhang, Zhun Gou, Nan-jing Huang
The overarching goal of this paper is to establish a set-valued Itô's formula. As an application, we obtain the existence and uniqueness of solutions for the general set-valued bac…
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…
A stochastic optimal control problem governed by SPDEs via a spatial-temporal interaction operator
Zhun Gou, Nan-jing Huang, Ming-hui Wang +1
In this paper, we first introduce a new spatial-temporal interaction operator to describe the space-time dependent phenomena. Then we consider the stochastic optimal control of a n…
Strong solutions for jump-type stochastic differential equations with non-Lipschitz coefficients
Zhun Gou, Ming-hui Wang, Nan-jing Huang
In this paper, the existence and pathwise uniqueness of strong solutions for jump-type stochastic differential equations are investigated under non-Lipschitz conditions. A sufficie…