4 papers
Decoupled Probabilistic Forecasting and Arbitrage-Aware Refinement of Implied Volatility Surfaces
Lifeng Hao, Shaolin Ji
Implied volatility surface forecasting is essential for option valuation, hedging,and risk management, but remains difficult because future surfaces are stochastic while pricing in…
Finite horizon stochastic control for continuous-time mean-field systems with Poisson jumps
Huimin Han, Shaolin Ji, Weihai Zhang
The paper develops a finite‑horizon stochastic H₂/H∞ control method for continuous‑time mean‑field systems with Poisson jumps, deriving a bounded‑real lemma and showing that solvab…
Global Convergence of Successive Approximations for Non-convex Stochastic Optimal Control Problems
Shaolin Ji, Rundong Xu
This paper focuses on finding approximate solutions to stochastic optimal control problems with control domains being not necessarily convex, where the state trajectory is subject…
A BSDE approach to the asymmetric risk-sensitive optimization and its applications
Mingshang Hu, Shaolin Ji, Rundong Xu +1
This paper is devoted to proposing a new asymmetric risk-sensitive criterion involving different risk attitudes toward varying risk sources. The criterion can only be defined throu…