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math.PR2023
A decomposition-homogenization method for Robin boundary problems on the nonnegative orthant
Lijun Bo, Yijie Huang, Xiang Yu
This paper studies the existence and uniqueness of a classical solution to a type of Robin boundary problems on the nonnegative orthant. We propose a new decomposition-homogenizati…
math.OC2023
An extended Merton problem with relaxed benchmark tracking
Lijun Bo, Yijie Huang, Xiang Yu
This paper studies Merton's problem in an extended formulation by incorporating the benchmark tracking on the wealth process. We consider a tracking formulation where the fund mana…
math.OC2023
Stochastic control problems with state-reflections arising from relaxed benchmark tracking
Lijun Bo, Yijie Huang, Xiang Yu
This paper studies stochastic control problems motivated by optimal consumption with wealth benchmark tracking. The benchmark process is modeled by a combination of a geometric Bro…