5 papers
Insider and stealth trading with dynamic legal risk
Bixing Qiao, Weixuan Xia
The present paper investigates how insiders strategically navigate ongoing legal risk while leveraging stealth trading within a continuous-time Kyle-type framework. Legal enforceme…
On the Absolute-Value Integral of a Brownian Motion with Drift: Exact and Asymptotic Formulae
Weixuan Xia, Yuyang Zhang
The present paper is concerned with the integral of the absolute value of a Brownian motion with drift. By establishing an asymptotic expansion of the space Laplace transform, we o…
On certain integral functionals of integer-valued subordinators
Dongdong Hu, Hasanjan Sayit, Weixuan Xia
It is known that the exponential functional of a Poisson process admits a probability density function in the form of an infinite series. In this paper, we obtain an explicit expre…
Optimal Consumption--Investment Problems under Time-Varying Incomplete Preferences
Weixuan Xia
The main objective of this paper is to develop a martingale-type solution to optimal consumption--investment choice problems ([Merton, 1969] and [Merton, 1971]) under time-varying…
Set-valued stochastic integrals for convoluted Lévy processes
Weixuan Xia
In this paper we study set-valued Volterra-type stochastic integrals driven by Lévy processes. Upon extending the classical definitions of set-valued stochastic integral functiona…