57 citations · 70 across the 31 of their papers we have counts for
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math.OC2018
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…
q-fin.RM2018★ 57 cited
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…