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20182026
most citedTime-Inconsistent Stochastic Optimal Control Problems and Backward Stochastic Volterra Integral Equations

11 citations · 29 across the 16 of their papers we have counts for

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math.OC2024

Solvability of Coupled Forward-Backward Volterra Integral Equations

Wenyang Li, Hanxiao Wang, Jiongmin Yong

Motivated by the optimality system associated with controlled (forward) Volterra integral equations (FVIEs, for short), the well-posedness of coupled forward-backward Voterra integ…

math.OC2024

Dynamic Coalition Portfolio Selection with Recursive Utility

Hanxiao Wang, Chao Zhou

In this paper, we consider a dynamic coalition portfolio selection problem, with each agent's objective given by an Epstein--Zin recursive utility. To find a Pareto optimum, the co…