6 papers
Optimal Comfortable Consumption under Epstein-Zin utility
Dejian Tian, Weidong Tian, Jianjun Zhou +1
We solve the optimal portfolio choice problem under Epstein--Zin utility with a time-varying consumption constraint, where closed-form expressions for neither the primal nor the du…
Local well-posedness of general mean field game master equations
Chenchen Mou, Jianfeng Zhang, Jianjun Zhou
This paper presents a generic approach for establishing mean field game master equations, applicable whenever the mean field equilibrium can be characterized by a McKean-Vlasov for…
Optimal Control of Unbounded Stochastic Evolution Systems in Hilbert Spaces
Shanjian Tang, Jianjun Zhou
Optimal control and the associated second-order Hamilton-Jacobi-Bellman (HJB) equation are studied for unbounded stochastic evolution systems in Hilbert spaces. A new notion of vis…
Optimal Consumption-Investment with Epstein-Zin Utility under Leverage Constraint
Dejian Tian, Weidong Tian, Jianjun Zhou +1
We study optimal portfolio choice under Epstein-Zin recursive utility in the presence of general leverage constraints. We first establish that the optimal value function is the uni…
Viscosity Solutions for HJB Equations on the Process Space
Jianjun Zhou, Nizar Touzi, Jianfeng Zhang
In this paper we investigate a path dependent optimal control problem on the process space with both drift and volatility controls, with possibly degenerate volatility. The dynamic…
Second-order monotonicity conditions and mean field games with volatility control
Chenchen Mou, Jianfeng Zhang, Jianjun Zhou
In this manuscript we study the well-posedness of the master equations for mean field games with volatility control. This infinite dimensional PDE is nonlinear with respect to both…