6 papers · 1 filter
Equilibria for Time-inconsistent Regular-singular Control Problems
Yuting Jia, Zongxia Liang, Xiaodong Luo
This paper studies a time-inconsistent mixed regular-singular control problem in continuous time with non-exponential discount. We seek time-consistent equilibria in an intraperson…
Equilibrium for regular-singular control under mean-variance criterion: A unified approach via control laws
Zongxia Liang, Xiaodong Luo, Jiayu Zhang
This paper studies a class of mixed regular-singular control problems under mean-variance criteria, where the drift and diffusion are allowed to depend on both the regular control…
Equilibrium singular dividend control under ambiguity aggregation of heterogeneous discount rates
Yue Cao, Guohui Guan, Zongxia Liang +1
This paper studies a singular dividend control problem for a firm with heterogeneous shareholders whose discount rates follow a given distribution. The central planner aggregates e…
Time-Inconsistent Singular Control Problems with a Running Minimum Process
Rui Dai, Guohui Guan, Zongxia Liang +1
This paper develops a time-inconsistent and path-dependent singular control framework incorporating a running minimum process. We derive a verification theorem that characterizes e…
Reinforcement learning for irreversible reinsurance problems: the randomized singular control approach
Zongxia Liang, Xiaodong Luo, Xiang Yu
This paper studies the continuous-time reinforcement learning for stochastic singular control with the application to an infinite-horizon irreversible reinsurance problem. The sing…
A Reinforcement Learning Framework for Some Singular Stochastic Control Problems
Zongxia Liang, Xiaodong Luo, Xiang Yu
We develop a continuous-time reinforcement learning framework for a class of singular stochastic control problems without entropy regularization. The optimal singular control is ch…