2 papers
math.OC2024
Multidimensional indefinite stochastic Riccati equations and zero-sum stochastic linear-quadratic differential games with non-Markovian regime switching
Panpan Zhang, Zuo Quan Xu
This paper is concerned with zero-sum stochastic linear-quadratic differential games in a regime switching model. The coefficients of the games depend on the underlying noises, so…
math.OC2024
Competitive optimal portfolio selection in a non-Markovian financial market: A backward stochastic differential equation study
Guangchen Wang, Zuo Quan Xu, Panpan Zhang
This paper studies a competitive optimal portfolio selection problem in a model where the interest rate, the appreciation rate and volatility rate of the risky asset are all stocha…