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math.OC2021
Asset Prices with Investor Protection and Survival Analysis of Shareholders in the Cross-Sectional Economy
Jia Yue, Ming-Hui Wang, Nan-Jing Huang +1
In this paper, we consider a dynamic asset pricing model in a cross-sectional economy with two firms where a controlling shareholder cannot divert output in one firm with perfect i…
math.OC2021
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…