2 papers
q-fin.MF2023
Robust utility maximization with intractable claims
Yunhong Li, Zuo Quan Xu, Xun Yu Zhou
We study a continuous-time expected utility maximization problem in which the investor at maturity receives the value of a contingent claim in addition to the investment payoff fro…
math.PR2020
Dynamic Programming Principle for Backward Doubly Stochastic Recursive Optimal Control Problem and Sobolev Weak Solution of The Stochastic Hamilton-Bellman Equation
Yunhong Li, Anis. Matoussi, Lifeng Wei +1
In this paper, we study backward doubly stochastic recursive optimal control problem where the cost function is described by the solution of a backward doubly stochastic differenti…