11 citations · 12 across the 5 of their papers we have counts for
7 papers
Convergence Analysis for Entropy-Regularized Control Problems: A Probabilistic Approach
Jin Ma, Gaozhan Wang, Jianfeng Zhang
In this paper we investigate the convergence of the Policy Iteration Algorithm (PIA) for a class of general continuous-time entropy-regularized stochastic control problems. In part…
A Generalized Kyle-Back Strategic Insider Trading Model with Dynamic Information
Jin Ma, Ying Tan
In this paper we consider a class of generalized Kyle-Back strategic insider trading models in which the insider is able to use the dynamic information obtained by observing the in…
Time-consistent conditional expectation under probability distortion
Jin Ma, Ting-Kam Leonard Wong, Jianfeng Zhang
We introduce a new notion of conditional nonlinear expectation under probability distortion. Such a distorted nonlinear expectation is not sub-additive in general, so it is beyond…
Dynamic Approaches for Some Time Inconsistent Problems
Chandrasekhar Karnam, Jin Ma, Jianfeng Zhang
In this paper we investigate possible approaches to study general time-inconsistent optimization problems without assuming the existence of optimal strategy. This leads immediately…
Large Deviations for Non-Markovian Diffusions and a Path-Dependent Eikonal Equation
Jin Ma, Zhenjie Ren, Nizar Touzi +1
This paper provides a large deviation principle for Non-Markovian, Brownian motion driven stochastic differential equations with random coefficients. Similar to Gao and Liu \cite{G…
On Quadratic g-Evaluations/Expectations and Related Analysis
Jin Ma, Song Yao
In this paper we extend the notion of g-evaluation, in particular g-expectation, to the case where the generator g is allowed to have a quadratic growth. We show that some importan…