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math.OC2026
Optimal Transport for Continuous-Time Mean-Variance Portfolio Selection
Yijie Zeng, Liangquan Zhang, Xun Li
The continuous-time mean-variance portfolio selection problem is investigated in this paper through a rigorous integration of backward stochastic differential equation (BSDE) and K…
math.OC2026
Closed-loop -Potential Stochastic Differential Games via a BSDE Approach
Xun Li, Liangquan Zhang
In this paper, we study the closed-loop -potential stochastic differential game (SDG) problem as a continuation of our prior research on open-loop control (see \cite{GLZ2025}).…