8 citations · 8 across the 12 of their papers we have counts for
8 papers · 1 filter
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…
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…
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…
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…