2 papers
math.OC2026
Minimum-Time Stochastic Optimal Control Problems Under Mean Constraints and Application to Portfolio Investment
Shuzhen Yang
Motivated by the practical demand for minimum-time optimal investment problems, we develop a unified framework for mean constraints minimum-time stochastic optimal control problems…
math.PR2025
Infinite Anticipation Backward Stochastic Differential Equations
Guanwei Cheng, Shuzhen Yang
In this paper, we introduce a new type of backward stochastic differential equations (BSDEs) with infinite anticipation, where the generator depends on the entire future values of…