4 papers
Utility maximization in constrained and unbounded financial markets: Applications to indifference valuation, regime switching, consumption and Epstein-Zin recursive utility
Ying Hu, Gechun Liang, Shanjian Tang
This memoir presents a systematic study of the utility maximization problem of an investor in a constrained and unbounded financial market. Building upon the work of Hu et al. (200…
Classical solution of path-dependent mean-field semilinear PDEs
Shanjian Tang, Huilin Zhang
The paper concerns classical solution of path-dependent partial differential equations (PPDEs) with coefficients depending on both variables of path and path-valued measure, which…
Maximum principle for optimal control of stochastic evolution equations with recursive utilities
Guomin Liu, Shanjian Tang
We consider the optimal control problem of stochastic evolution equations in a Hilbert space under a recursive utility, which is described as the solution of a backward stochastic…
Mean-field backward stochastic differential equations and nonlocal PDEs with quadratic growth
Tao Hao, Ying Hu, Shanjian Tang +1
In this paper, we study general mean-field backward stochastic differential equations (BSDEs, for short) with quadratic growth. First, the existence and uniqueness of local and glo…