74 citations · 267 across the 68 of their papers we have counts for
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Robust Consumption Portfolio Optimization with Stochastic Differential Utility
Jiangyan Pu, Qi Zhang
This paper examines a continuous time intertemporal consumption and portfolio choice problem with a stochastic differential utility preference of Epstein-Zin type for a robust inve…
The Relationship between Maximum Principle and Dynamic Programming Principle for Stochastic Recursive Control Problem with Random Coefficients
Yuchao Dong, Qingxin Meng, Qi Zhang
This paper aims to explore the relationship between maximum principle and dynamic programming principle for stochastic recursive control problem with random coefficients. Under cer…
Dynamic Programming Principle and Associated Hamilton-Jacobi-Bellman Equation for Stochastic Recursive Control Problem with Non-Lipschitz Aggregator
Jiangyan Pu, Qi Zhang
In this work we study the stochastic recursive control problem, in which the aggregator (or called generator) of the backward stochastic differential equation describing the runnin…
Optimal Variational Principle for Backward Stochastic Control Systems Associated with Lévy Processes
Maoning Tang, Qi Zhang
The paper is concerned with optimal control of backward stochastic differential equation (BSDE) driven by Teugel's martingales and an independent multi-dimensional Brownian motion,…