5 citations · 10 across the 6 of their papers we have counts for
6 papers
A Malliavin Calculus Approach to Backward Stochastic Volterra Integral Equations
Qian Lei, Chi Seng Pun
In this paper, we establish existence, uniqueness, and regularity properties of the solutions to multi-dimensional backward stochastic Volterra integral equations (BSVIEs), whose (…
Dynamic Mean-Variance Asset Allocation in General Incomplete Markets A Nonlocal BSDE-based Feedback Control Approach
Qian Lei, Chi Seng Pun, Jingxiang Tang
This paper studies dynamic mean-variance (MV) asset allocation problems in general incomplete markets. Besides of the conventional MV objective on portfolio's terminal wealth, our…
On the Well-posedness of Hamilton-Jacobi-Bellman Equations of the Equilibrium Type
Qian Lei, Chi Seng Pun
This paper studies the well-posedness of a class of nonlocal parabolic partial differential equations (PDEs), or equivalently equilibrium Hamilton-Jacobi-Bellman equations, which h…
Quasilinearization Methods for Nonlocal Fully-Nonlinear Parabolic Systems
Qian Lei, Chi Seng Pun
In this paper, we propose quasilinearization methods that convert nonlocal fully-nonlinear parabolic systems into the nonlocal quasilinear parabolic systems. The nonlocal parabolic…
Nonlocality, Nonlinearity, and Time Inconsistency in Stochastic Differential Games
Qian Lei, Chi Seng Pun
This paper proves the existence and uniqueness results (in the sense of maximally defined regularity) as well as the stability analysis for the solutions to a class of nonlocal ful…
Nonlocal Fully Nonlinear Parabolic Differential Equations Arising in Time-Inconsistent Problems
Qian Lei, Chi Seng Pun
We prove the well-posedness results, i.e. existence, uniqueness, and stability, of the solutions to a class of nonlocal fully nonlinear parabolic partial differential equations (PD…