6 papers
A unified approach to mean-field team: homogeneity, heterogeneity and quasi-exchangeability
Xinwei Feng, Ying Hu, Jianhui Huang
This paper aims to systematically solve stochastic team optimization of large-scale system, in a rather general framework. Concretely, the underlying large-scale system involves co…
Large Deviation principles of Realized Laplace Transform of Volatility
Xinwei Feng, Lidan He, Zhi Liu
Under scenario of high frequency data, consistent estimator of realized Laplace transform of volatility is proposed by \citet{TT2012a} and related central limit theorem has been we…
Remarks on Viscosity Super-Solutions of Quasi-Variational Inequalities
Yue Zhou, Xinwei Feng, Jiongmin Yong
For Hamilton-Jacobi-Bellman (HJB) equations, with the standard definitions of viscosity super-solution and sub-solution, it is known that there is a comparison between any (viscosi…
Reflected Backward Stochastic Differential Equation with Rank-based Data
Zhen-Qing Chen, Xinwei Feng
In this paper, we study reflected backward stochastic differential equation (reflected BSDE in abbreviation) with rank-based data in a Markovian framework; that is, the solution to…
Backward Stackelberg Differential Game with Constraints: a Mixed Terminal-Perturbation and Linear-Quadratic Approach
Xinwei Feng, Ying Hu, Jianhui Huang
We discuss an open-loop backward Stackelberg differential game involving single leader and single follower. Unlike most Stackelberg game literature, the state to be controlled is c…
Continuity of the Value Function for Deterministic Optimal Impulse Control with Terminal State Constraint
Yue Zhou, Xinwei Feng, Jiongmin Yong
Deterministic optimal impulse control problem with terminal state constraint is considered. Due to the appearance of the terminal state constraint, the value function might be disc…