2 papers
math.OC2026
Equilibrium strategies for stochastic control problems with higher-order moments and applications to portfolio selection
Yike Wang, Jingzhen Liu, Jiaqin Wei
In this paper we derive a novel characterization result for time-consistent stochastic control problems with higher-order moments, originally formulated by Wang et al. [SIAM J. Con…
q-fin.MF2025
On stochastic control problems with higher-order moments
Yike Wang, Jingzhen Liu, Alain Bensoussan +2
In this paper, we focus on a class of time-inconsistent stochastic control problems, where the objective function includes the mean and several higher-order central moments of the…