57 citations · 184 across the 31 of their papers we have counts for
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math.OC2019
Optimal Liquidation in Target Zone Models and Neumann Problem of Backward SPDEs with Singular Terminal Condition
Robert Elliott, Jinniao Qiu, Wenning Wei
We study the optimal liquidation problems in target zone models using dynamic programming methods. Such control problems allow for stochastic differential equations with reflection…
math.AP2019
The microscopic derivation and well-posedness of the stochastic Keller-Segel equation
Hui Huang, Jinniao Qiu
In this paper, we propose and study a stochastic aggregation-diffusion equation of the Keller-Segel (KS) type for modeling the chemotaxis in dimensions . Unlike the classica…