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math.OC2026
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…
math.OC2026
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…
math.OC2025
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…