5 citations · 10 across the 16 of their papers we have counts for
4 papers · 1 filter
Constrained monotone mean-variance problem with random coefficients
Ying Hu, Xiaomin Shi, Zuo Quan Xu
This paper studies the monotone mean-variance (MMV) problem and the classical mean-variance (MV) problem with convex cone trading constraints in a market with random coefficients.…
Non-homogeneous stochastic LQ control with regime switching and random coefficients
Ying Hu, Xiaomin Shi, Zuo Quan Xu
This paper is concerned with a general non-homogeneous stochastic linear quadratic (LQ) control problem with regime switching and random coefficients. We obtain the explicit optima…
Continuous-time Markowitz's mean-variance model under different borrowing and saving rates
Chonghu Guan, Xiaomin Shi, Zuo Quan Xu
We study Markowitz's mean-variance portfolio selection problem in a continuous-time Black-Scholes market with different borrowing and saving rates. The associated Hamilton-Jacobi-B…
Optimal control of SDEs with expected path constraints and related constrained FBSDEs
Ying Hu, Shanjian Tang, Zuo Quan Xu
In this paper, we consider optimal control of stochastic differential equations subject to an expected path constraint. The stochastic maximum principle is given for a general opti…