4 papers · 1 filter
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…