2 papers
q-fin.MF2026
Robust distortion riskmetrics under Wasserstein ambiguity
Yang Liu, Qiuqi Wang, Yihan Wang
Risk evaluation under distributional ambiguity is central to decision making in finance, economics, and operations research. Wasserstein balls provide a natural way to describe unc…
math.OC2026
Recursive Stochastic Linear-Quadratic Control with Indefinite Weights for Jump-Diffusion Systems with Random Coefficients
Xinyu Ma, Yang Liu, Qingxin Meng
We study finite-horizon stochastic linear-quadratic (LQ) control for finite-activity jump diffusions with bounded random coefficients, indefinite weights and a linear recursive cos…