2 papers
math.ST2021
Statistical Estimation and Nonlinear Filtering in Environmental Pollution
Qizhu Liang, Jie Xiong, Xingqiu Zhao
This paper studies a nonlinear filtering problem over an infinite time interval. The signal to be estimated is driven by a stochastic partial differential equation involves unknown…
q-fin.MF2017
Stochastic maximum principle under probability distortion
Qizhu Liang, Jie Xiong
Within the framework of the cumulative prospective theory of Kahneman and Tversky, this paper considers a continuous-time behavioral portfolio selection problem whose model include…