439 citations · 1.1k across the 55 of their papers we have counts for
8 papers · 1 filter
Linear-Quadratic-Gaussian Mixed Mean-field Games with Heterogeneous Input Constraints
Ying Hu, Jianhui Huang, Tianyang Nie
We consider a class of linear-quadratic-Gaussian mean-field games with a major agent and considerable heterogeneous minor agents in the presence of mean-field interactions. The ind…
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-…
Mixed Deterministic and Random Optimal Control of Linear Stochastic Systems with Quadratic Costs
Ying Hu, Shanjian Tang
In this paper, we consider the mixed optimal control of a linear stochastic system with a quadratic cost functional, with two controllers-one can choose only deterministic time fun…
Nonlinear Backward Stochastic Evolutionary Equations Driven by a Space-Time White Noise
Ying Hu, Shanjian Tang
We study the well solvability of nonlinear backward stochastic evolutionary equations driven by a space-time white noise. We first establish a novel a priori estimate for solution…
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…
Quadratic BSDEs with mean reflection
Hélène Hibon, Ying Hu, Yiqing Lin +2
The present paper is devoted to the study of the well-posedness of BSDEs with mean reflection whenever the generator has quadratic growth in the argument. This work is the sequ…