3 papers
math.PR2026
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…
math.OC2025
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…
q-fin.MF2024
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…