23 papers
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 differential variational inequalities with applications
Yao-Jia Zhang, Tao Chen, Nan-jing Huang +1
In this paper, we introduce and study a stochastic differential variational inequality (SDVI) which consists of a stochastic differential equation and a stochastic variational ineq…
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…
Variance-Based Bregman Extragradient Algorithm with Line Search for Solving Stochastic Variational Inequalities
Xian-Jun Long, Yue-Hong He, Nan-Jing Huang
The main purpose of this paper is to propose a variance-based Bregman extragradient algorithm with line search for solving stochastic variational inequalities, which is robust with…
Robust equilibrium strategy for mean-variance-skewness portfolio selection problem
Jian-hao Kang, Nan-jing Huang, Zhihao Hu +1
This paper considers a robust time-consistent mean-variance-skewness portfolio selection problem for an ambiguity-averse investor by taking into account wealth-dependent risk avers…
A new class of differential quasivariational inequalities with an application to a quasistatic viscoelastic frictional contact problem
Xu Chu, Tao Chen, Nan-jing Huang +1
The overarching goal of this paper is to introduce and investigate a new nonlinear system driven by a nonlinear differential equation, a history-dependent quasivariational inequali…