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math.OC2026
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…
math.OC2025
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…
math.OC2022
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…