2 papers
math.OC2026
Policy Iteration Achieves Regularized Equilibrium under Time Inconsistency
Yu-Jui Huang, Xiang Yu, Keyu Zhang
For a general entropy-regularized time-inconsistent stochastic control problem, we propose a policy iteration algorithm (PIA) and establish its convergence to an equilibrium policy…
q-fin.MF2025
Mean-Variance Stackelberg Games with Asymmetric Information
Yu-Jui Huang, Shihao Zhu
This paper considers two investors who perform mean-variance portfolio selection with asymmetric information: one knows the true stock dynamics, while the other has to infer the tr…