73 citations · 232 across the 43 of their papers we have counts for
5 papers · 1 filter
Recursive Utility Processes, Dynamic Risk Measures and Quadratic Backward Stochastic Volterra Integral Equations
Hanxiao Wang, Jingrui Sun, Jiongmin Yong
For an $\cF_T$-measurable payoff of a European type contingent claim, the recursive utility process/dynamic risk measure can be described by the adapted solution to a backward stoc…
Optimization of the Principal Eigenvalue for Elliptic Operators
Hongwei Lou, Jiongmin Yong
Maximization and minimization problems of the principle eigenvalue for divergence form second order elliptic operators with the Dirichlet boundary condition are considered. The pri…
Indefinite Stochastic Linear-Quadratic Optimal Control Problems with Random Coefficients: Closed-Loop Representation of Open-Loop Optimal Controls
Jingrui Sun, Jie Xiong, Jiongmin Yong
This paper is concerned with a stochastic linear-quadratic optimal control problem in a finite time horizon, where the coefficients of the control system are allowed to be random,…
Weak Closed-Loop Solvability of Stochastic Linear-Quadratic Optimal Control Problems
Jingrui Sun, Hanxiao Wang, Jiongmin Yong
Recently it has been found that for a stochastic linear-quadratic optimal control problem (LQ problem, for short) in a finite horizon, open-loop solvability is strictly weaker than…
Backward Stochastic Volterra Integral Equations--- Representation of Adapted Solutions
Tianxiao Wang, Jiongmin Yong
For backward stochastic Volterra integral equations (BSVIEs, for short), under some mild conditions, the so-called adapted solutions or adapted M-solutions uniquely exist. However,…