activity
20152024
most citedBackward stochastic differential equations with conditional reflection and related recursive optimal control problems

1 citations · 2 across the 7 of their papers we have counts for

collaborators
Showing 2020Show all

1 paper · 1 filter

q-fin.PM2020★ 1 cited

A game theoretical approach to homothetic robust forward investment performance processes in stochastic factor models

Juan Li, Wenqiang Li, Gechun Liang

This paper studies an optimal forward investment problem in an incomplete market with model uncertainty, in which the underlying stocks depend on the correlated stochastic factors.…