6 papers
Maximum principle for robust utility optimization via Tsallis relative entropy
Xueying Huang, Peng Luo, Dejian Tian
This paper investigates an optimal consumption-investment problem featuring recursive utility via Tsallis relative entropy. We establish a fundamental connection between this optim…
Extended mean field games with terminal constraint via decoupling fields
Tianjiao Hua, Peng Luo
We consider a class of extended mean field games with common noises, where there exists a strictly terminal constraint. We solve the problem by reducing it to an unconstrained cont…
A robust stochastic control problem with applications to monotone mean-variance problems
Yuyang Chen, Tianjiao Hua, Peng Luo
This paper studies a robust stochastic control problem with a monotone mean-variance cost functional and random coefficients. The main technique is to find the saddle point through…
Infinite horizon McKean-Vlasov FBSDEs and applications to mean field control problems
Tianjiao Hua, Peng Luo
In this paper, we study a class of infinite horizon fully coupled McKean-Vlasov forward-backward stochastic differential equations (FBSDEs). We propose a generalized monotonicity c…
The perturbation method applied to a robust optimization problem with constraint
Peng Luo, Alexander Schied, Xiaole Xue
The present paper studies a kind of robust optimization problems with constraint. The problem is formulated through Backward Stochastic Differential Equations (BSDEs) with quadrati…
Linear-quadratic extended mean field games with common noises
Tianjiao Hua, Peng Luo
In this paper, we consider a class of linear quadratic extended mean field games (MFGs) with common noises where the state coefficients and the cost functional vary with the mean f…