9 papers
Time-inconsistent reinsurance and investment optimization problem with delay under random risk aversion
Jian-hao Kang, Zhun Gou, Nan-jing Huang
This paper considers a newly delayed reinsurance and investment optimization problem incorporating random risk aversion, in which an insurer pursues maximization of the expected ce…
Nash Equilibria of Noncooperative/Mixed Differential Games with Density Constraints in Infinite Dimensions
Zhun Gou, Nan-Jing Huang, Jian-Hao Kang +1
Motivated by Cournot models, this paper proposes novel models of the noncooperative and cooperative differential games with density constraints in infinite dimensions, where market…
Linear-Quadratic Graphon Mean Field Games with Common Noise
De-xuan Xu, Zhun Gou, Nan-jing Huang +1
This paper studies linear quadratic graphon mean field games (LQ-GMFGs) with common noise, in which a large number of agents are coupled via a weighted undirected graph. One specia…
Linear-quadratic stochastic nonzero-sum differential games between graphon teams
De-xuan Xu, Zhun Gou, Nan-jing Huang
We study a class of nonzero-sum stochastic differential games between two teams with agents in each team interacting through graphon aggregates. On the one hand, in each large popu…
Equilibrium reinsurance and investment strategies for insurers with random risk aversion under Heston's SV model
Jian-hao Kang, Zhun Gou, Nan-jing Huang
This study employs expected certainty equivalents to explore the reinsurance and investment issue pertaining to an insurer that aims to maximize the expected utility while being su…
Social Optima in Linear Quadratic Graphon Field Control: Analysis via Infinite Dimensional Approach
De-xuan Xu, Zhun Gou, Nan-jing Huang
This paper is concerned with linear quadratic graphon field social control problem where the noises of individual agents are correlated. Compared with the well-studied mean field s…