4 papers
Dividend ratcheting and capital injection under the Cramér-Lundberg model: Strong solution and optimal strategy
Chonghu Guan, Zuo Quan Xu
We consider an optimal dividend payout problem for an insurance company whose surplus follows the classical Cramér-Lundberg model. The dividend rate is subject to a ratcheting cons…
Competitive optimal portfolio selection under mean-variance criterion
Guojiang Shao, Zuo Quan Xu, Qi Zhang
We investigate a portfolio selection problem involving multi competitive agents, each exhibiting mean-variance preferences. Unlike classical models, each agent's utility is determi…
Infinite horizon discounted LQ optimal control problems for mean-field switching diffusions
Kai Ding, Xun Li, Siyu Lv +1
This paper investigates an infinite horizon discounted linear-quadratic (LQ) optimal control problem for stochastic differential equations (SDEs) incorporating regime switching and…
Ergodic McKean-Vlasov Games: Verification Theorems and Linear-Quadratic Applications
Qingshuo Song, Gu Wang, Zuo Quan Xu +1
This paper investigates two-player ergodic nonzero-sum stochastic differential games with McKean-Vlasov dynamics. We establish a verification theorem connecting solutions of couple…