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math.OC2025
Extended HJB Equation for Mean-Variance Stopping Problem: Vanishing Regularization Method
Yuchao Dong, Harry Zheng
This paper studies the time-inconsistent MV optimal stopping problem via a game-theoretic approach to find equilibrium strategies. To overcome the mathematical intractability of di…
math.OC2025
A Two-fold Randomization Framework for Impulse Control Problems
Haoyang Cao, Yuchao Dong, Zhouhao Yang
We propose and analyze a randomization scheme for a general class of impulse control problems. The solution to this randomized problem is characterized as the fixed point of a comp…