57 citations · 70 across the 31 of their papers we have counts for
33 papers
Minimum-Time Stochastic Optimal Control Problems Under Mean Constraints and Application to Portfolio Investment
Shuzhen Yang
Motivated by the practical demand for minimum-time optimal investment problems, we develop a unified framework for mean constraints minimum-time stochastic optimal control problems…
Robust asset pricing and superhedging duality under model uncertainty with and without short-sale constraints
Shuzhen Yang, Wenqing Zhang
We study asset pricing and hedging under model uncertainty in discrete time and finite states. For the single-period model, we characterize no-arbitrage by the existence of strictl…
Uncertainty in the financial market and application to forecastabnormal financial fluctuations
Shige Peng, Shuzhen Yang, Wenqing Zhang
The integration and innovation of finance and technology have gradually transformed the financial system into a complex one. Analyses of the causesd of abnormal fluctuations in the…
Sublinear expectation structure under countable state space
Shuzhen Yang, Wenqing Zhang
In this study, we propose the sublinear expectation structure under countable state space. To describe an interesting "nonlinear randomized" trial, based on a convex compact domain…
Parameter learning: stochastic optimal control approach with reinforcement learning
Shuzhen Yang
In this study, we develop a stochastic optimal control approach with reinforcement learning structure to learn the unknown parameters appeared in the drift and diffusion terms of t…
Stochastic maximum principle for recursive optimal control problems with varying terminal time
Jiaqi Wang, Shuzhen Yang
This paper introduces a new recursive stochastic optimal control problem driven by a forward-backward stochastic differential equations (FBSDEs), where the ter?minal time varies ac…
Fixed-point iterative algorithm for SVI model
Shuzhen Yang, Wenqing Zhang
The stochastic volatility inspired (SVI) model is widely used to fit the implied variance smile. Presently, most optimizer algorithms for the SVI model have a strong dependence on…
Optimal Consumption for Recursive Preferences with Local Substitution -- the Case of Certainty
Hanwu Li, Frank Riedel, Shuzhen Yang
We characterize optimal consumption policies in a recursive intertemporal utility framework with local substitution. We establish existence and uniqueness and a version of the Kuhn…
Extended Dynamic Programming Principle and Applications to Time-Inconsistent Control
Yuhong Xu, Shuzhen Yang
Since Peng (1993) established a local maximum principle for a general stochastic control problem governed by forward-backward stochastic differential equations (FBSDEs), the corres…
A compensatory model for quantile estimation and application to VaR
Xiaoyuan Tian, Shuzhen Yang
Unlike the standard two-step workflow of estimating a time series distribution and extracting quantiles from it, this paper proposes a compensatory model to refine quantile estimat…
Linear regression under model uncertainty
Shuzhen Yang, Jianfeng Yao
We reexamine the classical linear regression model when the model is subject to two types of uncertainty: (i) some of covariates are either missing or completely inaccessible, and…
Discrete time multi-period mean-variance model: Bellman type strategy and Empirical analysis
Shuzhen Yang
In this paper, we attempt to introduce the Bellman principle for a discrete time multi-period mean-variance model. Based on this new take on the Bellman principle, we obtain a dyna…
Bellman type strategy for the continuous time mean-variance model
Shuzhen Yang
To investigate a time-consistent optimal strategy for the continuous time mean-variance model, we develop a new method to establish the Bellman principle. Based on this new method,…
Multi-time state mean-variance model in continuous time
Shuzhen Yang
In the continuous time mean-variance model, we want to minimize the variance (risk) of the investment portfolio with a given mean at terminal time. However, the investor can stop t…
A varying terminal time mean-variance model
Shuzhen Yang
To improve the efficient frontier of the classical mean-variance model in continuous time, we propose a varying terminal time mean-variance model with a constraint on the mean valu…
A varying terminal time structure for stochastic optimal control under constrained condition
Shuzhen Yang
In this study, we propose a varying terminal time structure for the optimal control problem under state constraints, in which the terminal time follows the varying of the control v…
Stochastic maximum principle for optimal control problem with a stopping time cost functional
Shuzhen Yang
In this study, we consider an optimal control problem driven by a stochastic differential system with a stopping time terminal cost functional. We establish the stochastic maximum…
Improving Value-at-Risk prediction under model uncertainty
Shige Peng, Shuzhen Yang, Jianfeng Yao
Several well-established benchmark predictors exist for Value-at-Risk (VaR), a major instrument for financial risk management. Hybrid methods combining AR-GARCH filtering with skew…
The connection between discrete and continuous state constraints optimal control systems: the deterministic case
Shuzhen Yang
An optimal control problem driven by an ordinary differential equation under continuous state constraints is considered in this study. From an operational point of view, we introdu…
The Pontryagin's maximum principle for stochastic differential systems under state constraints
Shuzhen Yang
In this study, we consider an optimal control problem driven by a stochastic differential equation with state constraints. Here, the state constraints mean the constraints about th…
The necessary and sufficient conditions for stochastic differential systems with multi-time states cost functional
Shuzhen Yang
From economics point of view, we investigate a new optimal control problem driven by a stochastic differential equation with a multi-time states cost functional. By constructing a…
Multidimensional viscosity solutions theory of semi-linear partial differential equations
Shuzhen Yang
In this study, we concern the multidimensional viscosity solutions theory of a kind of semi-linear partial differential equations (PDEs). A new definition of viscosity solution for…
On an Optimal Extraction Problem with Regime Switching
Giorgio Ferrari, Shuzhen Yang
This paper studies a finite-fuel two-dimensional degenerate singular stochastic control problem under regime switching that is motivated by the optimal irreversible extraction prob…
Solutions for Functional Fully Coupled Forward-Backward Stochastic Differential Equations
Shaolin Ji, Shuzhen Yang
In this paper, we study a functional fully coupled forward-backward stochastic differential equations (FBSDEs). Under a new type of integral Lipschitz and monotonicity conditions,…