2 citations · 3 across the 9 of their papers we have counts for
9 papers
Stackelberg Games with a Robust Leader
Juan Li, Jianfeng Zhang, Zimu Zhu
In this paper we study a Stackelberg game with one leader and multiple followers. Given the leader's control, the followers solve a Nash game with possibly multiple equilibria. We…
A General Model for Continuous Time Principal-Agent Problem Under Hidden Action
Jaeyoung Sung, Jianfeng Zhang, Zimu Zhu
In this paper, we study a general continuous-time Principal-Agent (PA) problem, where the agent privately makes effort and consumption decisions over time under a contract with pay…
DeepPAAC: A New Deep Galerkin Method for Principal-Agent Problems
Michael Ludkovski, Changgen Xie, Zimu Zhu
We consider numerical resolution of principal-agent (PA) problems in continuous time. We formulate a generic PA model with continuous and lump payments and a multi-dimensional stra…
Optimal Consumption-Investment with Epstein-Zin Utility under Leverage Constraint
Dejian Tian, Weidong Tian, Jianjun Zhou +1
We study optimal portfolio choice under Epstein-Zin recursive utility in the presence of general leverage constraints. We first establish that the optimal value function is the uni…
Optimal Comfortable Consumption under Epstein-Zin utility
Dejian Tian, Weidong Tian, Jianjun Zhou +1
We solve the optimal portfolio choice problem under Epstein--Zin utility with a time-varying consumption constraint, where closed-form expressions for neither the primal nor the du…
Convergence of the Backward Deep BSDE Method with Applications to Optimal Stopping Problems
Chengfan Gao, Siping Gao, Ruimeng Hu +1
The optimal stopping problem is one of the core problems in financial markets, with broad applications such as pricing American and Bermudan options. The deep BSDE method [Han, Jen…
Smoothness of the Value Function for Optimal Consumption Model with Consumption-Wealth Utility and Borrowing Constraint
Weidong Tian, Zimu Zhu
This paper studies an optimal consumption-investment problem for an investor whose instantaneous utility depends on both consumption and wealth, and the investor faces a general bo…
A Dynamic Principal Agent Problem with One-sided Commitment
Jianfeng Zhang, Zimu Zhu
In this paper we consider a principal agent problem where the agent is allowed to quit, by incurring a cost. When the current agent quits the job, the principal will hire a new one…
A Portfolio Choice Problem Under Risk Capacity Constraint
Weidong Tian, Zimu Zhu
This paper studies an optimal investing problem for a retiree facing longevity risk and living standard risk. We formulate the investing problem as a portfolio choice problem under…