83 citations · 230 across the 51 of their papers we have counts for
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math.PR2017
Mean-field type Quadratic BSDEs
Hélène Hibon, Ying Hu, Shanjian Tang
In this paper, we give several new results on solvability of a quadratic BSDE whose generator depends also on the mean of both variables. First, we consider such a BSDE using John-…
math.PR2017★ 2 cited
Utility maximization in constrained and unbounded financial markets: Applications to indifference valuation, regime switching, consumption and Epstein-Zin recursive utility
Ying Hu, Gechun Liang, Shanjian Tang
This memoir presents a systematic study of the utility maximization problem of an investor in a constrained and unbounded financial market. Building upon the work of Hu et al. (200…
math.PR2017★ 2 cited
Existence of solution to scalar BSDEs with weakly -integrable terminal values
Ying Hu, Shanjian Tang
In this paper, we study a scalar linearly growing BSDE with a weakly -integrable terminal value. We prove that the BSDE admits a solutionif the terminal value satisfies som…