1 citations · 1 across the 1 of their papers we have counts for
3 papers
math.AP2026★ 1 cited
On the Well-posedness of Hamilton-Jacobi-Bellman Equations of the Equilibrium Type
Qian Lei, Chi Seng Pun
This paper studies the well-posedness of a class of nonlocal parabolic partial differential equations (PDEs), or equivalently equilibrium Hamilton-Jacobi-Bellman equations, which h…
math.PR2025
A Malliavin Calculus Approach to Backward Stochastic Volterra Integral Equations
Qian Lei, Chi Seng Pun
In this paper, we establish existence, uniqueness, and regularity properties of the solutions to multi-dimensional backward stochastic Volterra integral equations (BSVIEs), whose (…
q-fin.MF2024
Dynamic Mean-Variance Asset Allocation in General Incomplete Markets A Nonlocal BSDE-based Feedback Control Approach
Qian Lei, Chi Seng Pun, Jingxiang Tang
This paper studies dynamic mean-variance (MV) asset allocation problems in general incomplete markets. Besides of the conventional MV objective on portfolio's terminal wealth, our…