2 papers
math.OC2024
Dynamic Coalition Portfolio Selection with Recursive Utility
Hanxiao Wang, Chao Zhou
In this paper, we consider a dynamic coalition portfolio selection problem, with each agent's objective given by an Epstein--Zin recursive utility. To find a Pareto optimum, the co…
math.PR2022
Backward Stochastic Differential Equations and Backward Stochastic Volterra Integral Equations with Anticipating Generators
Hanxiao Wang, Jiongmin Yong, Chao Zhou
For a backward stochastic differential equation (BSDE, for short), when the generator is not progressively measurable, it might not admit adapted solutions, shown by an example. Ho…