108 citations · 152 across the 8 of their papers we have counts for
3 papers · 1 filter
Stability of Equilibria in Time-inconsistent Stopping Problems
Erhan Bayraktar, Zhenhua Wang, Zhou Zhou
We investigate the stability of equilibrium-induced optimal values with respect to (w.r.t.) reward functions and transition kernels for time-inconsistent stopping problems…
Singular Perturbation of Zero-Sum Linear-Quadratic Stochastic Differential Games
Beniamin Goldys, James Yang, Zhou Zhou
We investigate a class of zero-sum linear-quadratic stochastic differential games on a finite time horizon governed by multiscale state equations. The multiscale nature of the prob…
Multiscale Linear-Quadratic Stochastic Optimal Control With Multiplicative Noise
Beniamin Goldys, Gianmario Tessitore, James Yang +1
We investigate the asymptotic properties of a finite-time horizon linear-quadratic optimal control problem driven by a multiscale stochastic process with multiplicative Brownian no…