5 papers
Optimal consumption under a drawdown constraint over a finite horizon
Xiaoshan Chen, Xun Li, Fahuai Yi +1
This paper studies a finite horizon utility maximization problem on excessive consumption under a drawdown constraint. Our control problem is an extension of the one considered in…
A consumption-investment model with state-dependent lower bound constraint on consumption
Chonghu Guan, Zuo Quan Xu, Fahuai Yi
This paper studies a life-time consumption-investment problem under the Black-Scholes framework, where the consumption rate is subject to a lower bound constraint that linearly dep…
Optimal redeeming strategy of stock loans under drift uncertainty
Zuo Quan Xu, Fahuai Yi
In practice, one must recognize the inevitable incompleteness of information while making decisions. In this paper, we consider the optimal redeeming problem of stock loans under a…
Optimal Investment Stopping Problem with Nonsmooth Utility in Finite Horizon
Chonghu Guan, Xun Li, Zuoquan Xu +1
In this paper, we investigate an interesting and important stopping problem mixed with stochastic controls and a \textit{nonsmooth} utility over a finite time horizon. The paper ai…
Dynkin Game of Convertible Bonds and Their Optimal Strategy
Huiwen Yan, Zhou Yang, Fahuai Yi +1
This paper studies the valuation and optimal strategy of convertible bonds as a Dynkin game by using the reflected backward stochastic differential equation method and the variatio…