3 papers
math.PR2025
Stochastic Integration on Stochastic Sets of Interval Type and Applications to Mathematical Finance
Jia Yue, Ming-Hui Wang, Nan-Jing Huang
In the existing works, stochastic sets of interval type, along with -stochastic processes, were introduced within the framework of stochastic analysis. In…
math.OC2024
Linear-Quadratic Graphon Mean Field Games with Common Noise
De-xuan Xu, Zhun Gou, Nan-jing Huang +1
This paper studies linear quadratic graphon mean field games (LQ-GMFGs) with common noise, in which a large number of agents are coupled via a weighted undirected graph. One specia…
math.PR2023
Stochastic Integrals on Predictable Sets of Interval Type with Financial Applications
Jia Yue, Ming-Hui Wang, Nan-Jing Huang
In this paper, by extending the classic stochastic integrals, we investigate three kinds of more general stochastic integrals: Lebesgue-Stieltjes integrals on predictable sets of i…