6 papers
Globalized distributionally robust optimization problems under the moment-based framework
Ke-wei Ding, Nan-jing Huang, Lei Wang
This paper is devoted to reduce the conservatism of distributionally robust optimization with moments information. Since the optimal solution of distributionally robust optimizatio…
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…
Asset Prices with Investor Protection and Past Information
Jia Yue, Ben-Zhang Yang, Ming-Hui Wang +1
In this paper, we consider a dynamic asset pricing model in an approximate fractional economy to address empirical regularities related to both investor protection and past informa…
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…
Variational and numerical analysis of a dynamic viscoelastic contact problem with friction and wear
Tao Chen, Nan-jing Huang, Yi-bin Xiao
In this paper, we consider a dynamic viscoelastic contact problem with friction and wear, and describe it as a system of nonlinear partial differential equations. We formulate the…
Equilibrium price and optimal insider trading strategy under stochastic liquidity with long memory
Ben-zhang Yang, Xinjiang He, Nan-jing Huang
In this paper, the Kyle model of insider trading is extended by characterizing the trading volume with long memory and allowing the noise trading volatility to follow a general sto…