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math.OC2023
A BSDE approach to the asymmetric risk-sensitive optimization and its applications
Mingshang Hu, Shaolin Ji, Rundong Xu +1
This paper is devoted to proposing a new asymmetric risk-sensitive criterion involving different risk attitudes toward varying risk sources. The criterion can only be defined throu…
math.OC2020
A Global Stochastic Maximum Principle for Forward-Backward Stochastic Control Systems with Quadratic Generators
Mingshang Hu, Shaolin Ji, Rundong Xu
We study a stochastic optimal control problem for forward-backward control systems with quadratic generators. In order to establish the first and second-order variational and adjoi…