6 citations · 24 across the 15 of their papers we have counts for
15 papers
Local well-posedness of general mean field game master equations
Chenchen Mou, Jianfeng Zhang, Jianjun Zhou
This paper presents a generic approach for establishing mean field game master equations, applicable whenever the mean field equilibrium can be characterized by a McKean-Vlasov for…
Optimal Control of Unbounded Stochastic Evolution Systems in Hilbert Spaces
Shanjian Tang, Jianjun Zhou
Optimal control and the associated second-order Hamilton-Jacobi-Bellman (HJB) equation are studied for unbounded stochastic evolution systems in Hilbert spaces. A new notion of vis…
Optimal Consumption-Investment with Epstein-Zin Utility under Leverage Constraint
Dejian Tian, Weidong Tian, Jianjun Zhou +1
We study optimal portfolio choice under Epstein-Zin recursive utility in the presence of general leverage constraints. We first establish that the optimal value function is the uni…
Second-order monotonicity conditions and mean field games with volatility control
Chenchen Mou, Jianfeng Zhang, Jianjun Zhou
In this manuscript we study the well-posedness of the master equations for mean field games with volatility control. This infinite dimensional PDE is nonlinear with respect to both…
Optimal Comfortable Consumption under Epstein-Zin utility
Dejian Tian, Weidong Tian, Jianjun Zhou +1
We solve the optimal portfolio choice problem under Epstein--Zin utility with a time-varying consumption constraint, where closed-form expressions for neither the primal nor the du…
Viscosity Solutions of Second Order Path-Dependent Partial Differential Equations and Applications
Shanjian Tang, Jianjun Zhou
In this article, a notion of viscosity solutions is introduced for fully nonlinear second order path-dependent partial differential equations in the spirit of [Zhou, Ann. Appl. Pro…
Optimal Control of Unbounded Functional Stochastic Evolution Systems in Hilbert Spaces: Second-Order Path-dependent HJB Equation
Shanjian Tang, Jianjun Zhou
Optimal control and the associated second-order path-dependent Hamilton-Jacobi-Bellman (PHJB) equation are studied for unbounded functional stochastic evolution systems in Hilbert…
Viscosity Solutions for HJB Equations on the Process Space
Jianjun Zhou, Nizar Touzi, Jianfeng Zhang
In this paper we investigate a path dependent optimal control problem on the process space with both drift and volatility controls, with possibly degenerate volatility. The dynamic…
Viscosity Solutions to Second Order Elliptic Hamilton-Jacobi-Bellman Equation with infinite delay
Jianjun Zhou
This paper introduces a notion of viscosity solutions for second order elliptic Hamilton-Jacobi-Bellman (HJB) equations with infinite delay associated with infinite-horizon optimal…
Viscosity Solutions to Second Order Path-Dependent Hamilton-Jacobi-Bellman Equations in Hilbert Spaces
Jianjun Zhou
In this article, a notion of viscosity solutions is introduced for second order path-dependent Hamilton-Jacobi-Bellman (PHJB) equations associated with optimal control problems for…
Viscosity Solutions to First Order Path-Dependent Hamilton-Jacobi-Bellman Equations in Hilbert Space
Jianjun Zhou
In this article, a notion of viscosity solutions is introduced for first order path-dependent Hamilton-Jacobi-Bellman (PHJB) equations associated with optimal control problems for…
Viscosity Solutions to Second Order Path-Dependent Hamilton-Jacobi-Bellman Equations and Applications
Jianjun Zhou
In this article, a notion of viscosity solutions is introduced for second order path-dependent Hamilton-Jacobi-Bellman (PHJB) equations associated with optimal control problems for…
Viscosity Solutions to First Order Path-Dependent HJB Equations
Jianjun Zhou
In this article, a notion of viscosity solutions is introduced for first order path-dependent Hamilton-Jacobi-Bellman (HJB) equations associated with optimal control problems for p…
Viscosity Solutions to Path-Dependent HJB Equation and Applications
Jianjun Zhou
In this article, the notion of viscosity solution is introduced for the path-dependent Hamilton-Jacobi-Bellman (PHJB) equations associated with the optimal control problems for pat…
A Class of Delay Optimal Control Problems and Viscosity Solutions to Associated Hamilton-Jacobi-Bellman Equations
Jianjun Zhou
In this article, a class of optimal control problems of differential equations with delays are investigated for which the associated Hamilton-Jacobi-Bellman (HJB) equations are non…