4 citations · 5 across the 5 of their papers we have counts for
5 papers
Time-Varying Gaussian-Cauchy Mixture Models for Financial Risk Management
Shuguang Zhang, Minjing Tao, Xu-Feng Niu +1
There are various metrics for financial risk, such as value at risk (VaR), expected shortfall, expected/unexpected loss, etc. When estimating these metrics, it was very common to a…
Large deviations for stochastic differential delay equations with Lévy noises
Yumeng Li, Ran Wang, Nian Yao +1
In this paper, we establish a large deviation principle for stochastic differential delay equations driven by both Brownian motions and Poisson random measures. The weak convergenc…
Moderate deviations for a fractional stochastic heat equation with spatially correlated noise
Yumeng Li, Ran Wang, Nian Yao +1
In this paper, we study the Moderate Deviation Principle for a perturbed stochastic heat equation in the whole space $\rr^d, d\ge1$. This equation is driven by a Gaussian noise, wh…
Linear Quadratic Stochastic Two-Person Zero-Sum Differential Games in an Infinite Horizon
Jingrui Sun, Jiongmin Yong, Shuguang Zhang
This paper is concerned with a linear quadratic stochastic two-person zero-sum differential game with constant coefficients in an infinite time horizon. Open-loop and closed-loop s…
Stochastic Optimization Theory of Backward Stochastic Differential Equations Driven by G-Brownian Motion
Zhonghao Zheng, Xiuchun Bi, Shuguang Zhang
In this paper, we consider the stochastic optimal control problems under G-expectation. Based on the theory of backward stochastic differential equations driven by G-Brownian motio…