7 papers
Scaling limit for the pinning model in correlated Gaussian environment beyond the -regime
Jian Song, Meng Wang, Ran Wei
In this paper, we study the scaling limit of the pinning model in correlated Gaussian environment. The tail probability of the underlying renewal process of the model has a polynom…
Anticipated backward stochastic evolution equations and maximum principle for path-dependent systems in infinite dimensions
Guomin Liu, Jian Song, Meng Wang
For a class of path-dependent stochastic evolution equations driven by cylindrical -Wiener process, we study the Pontryagin's maximum principle for the stochastic recursive opti…
Mean Field Game of High-Frequency Anticipatory Trading
Xue Cheng, Meng Wang, Ziyi Xu
The interactions between a large population of high-frequency traders (HFTs) and a large trader (LT) who executes a certain amount of assets at discrete time points are studied. HF…
On a class of stochastic fractional heat equations
Jian Song, Meng Wang, Wangjun Yuan
For the fractional heat equation where the covariance function of the Gaussian noise is d…
Relative entropy-regularized robust optimal order execution
Meng Wang, Tai-Ho Wang
The problem of order execution is cast as a relative entropy-regularized robust optimal control problem in this article. The order execution agent's goal is to maximize an objectiv…
Stochastic partial differential equations associated with Feller processes
Jian Song, Meng Wang, Wangjun Yuan
For the stochastic partial differential equation where is Gaussian noise colored in time and is the infi…
Maximum principle for recursive optimal control problem of stochastic delay evolution equations
Guomin Liu, Jian Song, Meng Wang
For a class of stochastic delay evolution equations driven by cylindrical -Wiener process, we study the Pontryagin's maximum principle for the stochastic recursive optimal contr…