4 papers
Uncertainty in the financial market and application to forecastabnormal financial fluctuations
Shige Peng, Shuzhen Yang, Wenqing Zhang
The integration and innovation of finance and technology have gradually transformed the financial system into a complex one. Analyses of the causesd of abnormal fluctuations in the…
Stochastic maximum principle for recursive optimal control problems with varying terminal time
Jiaqi Wang, Shuzhen Yang
This paper introduces a new recursive stochastic optimal control problem driven by a forward-backward stochastic differential equations (FBSDEs), where the ter?minal time varies ac…
Fixed-point iterative algorithm for SVI model
Shuzhen Yang, Wenqing Zhang
The stochastic volatility inspired (SVI) model is widely used to fit the implied variance smile. Presently, most optimizer algorithms for the SVI model have a strong dependence on…
estimations of fully coupled FBSDEs
Qingxin Meng, Shuzhen Yang
In this study, for any given terminal time , we establish an () estimations of fully coupled FBSDEs based on the estimations. Yong [24] proposed that a natural…