3 citations · 3 across the 4 of their papers we have counts for
4 papers
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…
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…
Walsh Spider Diffusions as Time Changed Multi-parameter Processes
Erhan Bayraktar, Jingjie Zhang, Xin Zhang
Inspired by allocation strategies in multi-armed bandit model, we propose a pathwise construction of Walsh spider diffusions. For any infinitesimal generator on a star shaped graph…
Time Consistent Stopping For The Mean-Standard Deviation Problem --- The Discrete Time Case
Erhan Bayraktar, Jingjie Zhang, Zhou Zhou
Inspired by Strotz's consistent planning strategy, we formulate the infinite horizon mean-variance stopping problem as a subgame perfect Nash equilibrium in order to determine time…