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math.OC2024
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…
math.OC2024
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…
math.OC2024
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…