2 papers
math.OC2026
Equilibrium under Time-Inconsistency: A New Existence Theory by Vanishing Entropy Regularization
Zhenhua Wang, Xiang Yu, Jingjie Zhang +1
This paper develops a framework for establishing the existence of solutions to the equilibrium Hamilton-Jacobi-Bellman (EHJB) equation arising in time-inconsistent stochastic contr…
math.OC2025
Goal-based portfolio selection with fixed transaction costs
Erhan Bayraktar, Bingyan Han, Jingjie Zhang
We study a goal-based portfolio selection problem in which an investor aims to meet multiple financial goals, each with a specific deadline and target amount. Trading the stock inc…