113 citations · 212 across the 8 of their papers we have counts for
9 papers
Mean field social optimization: feedback person-by-person optimality and the dynamic programming equation
Minyi Huang, Shuenn-Jyi Sheu, Li-Hsien Sun
We consider mean field social optimization in nonlinear diffusion models. By dynamic programming with a representative agent employing cooperative optimizer selection, we derive a…
A generic approach to homogenization of a diffusion driven by growing incompressible drift
Brice Franke, Shuenn-Jyi Sheu
We study how the resolvent-family of a diffusion behaves, as thedrift grows to infinity. The limit turns out to be a selfadjoint pseudo-resolvent.After reduction of the underlying…
Expected exponential utility maximization of insurers with a general diffusion factor model : The complete market case
Hiroaki Hata, Shuenn-Jyi Sheu, Li-Hsien Sun
In this paper, we consider the problem of optimal investment by an insurer. The insurer invests in a market consisting of a bank account and risky assets. The mean returns and…
Portfolio Optimization with Delay Factor Models
Shuenn-Jyi Sheu, Li-Hsien Sun, Zheng Zhang
We propose an optimal portfolio problem in the incomplete market where the underlying assets depend on economic factors with delayed effects, such models can describe the short ter…
Asymptotics of the probability minimizing a "down-side" risk
Hiroaki Hata, Hideo Nagai, Shuenn-Jyi Sheu
We consider a long-term optimal investment problem where an investor tries to minimize the probability of falling below a target growth rate. From a mathematical viewpoint, this is…
Max-plus Stochastic Control and Risk-sensitivity
Wendell H. Fleming, Hidehiro Kaise, Shuenn-Jyi Sheu
In the Maslov idempotent probability calculus, expectations of random variables are defined so as to be linear with respect to max-plus addition and scalar multiplication. This pap…