3 citations · 6 across the 8 of their papers we have counts for
8 papers
Improving Quantal Cognitive Hierarchy Model Through Iterative Population Learning
Yuhong Xu, Shih-Fen Cheng, Xinyu Chen
In domains where agents interact strategically, game theory is applied widely to predict how agents would behave. However, game-theoretic predictions are based on the assumption th…
Extended Dynamic Programming Principle and Applications to Time-Inconsistent Control
Yuhong Xu, Shuzhen Yang
Since Peng (1993) established a local maximum principle for a general stochastic control problem governed by forward-backward stochastic differential equations (FBSDEs), the corres…
Dynamic portfolio selection without risk-free assets
Chi Kin Lam, Yuhong Xu, Guosheng Yin
We consider the mean--variance portfolio optimization problem under the game theoretic framework and without risk-free assets. The problem is solved semi-explicitly by applying the…
A complex Feynman-Kac formula via linear backward stochastic differential equations
Yuhong Xu
A complex notion of backward stochastic differential equation (BSDE) is proposed in this paper to give a probabilistic interpretation for linear first order complex partial differe…
Robust valuation and risk measurement under model uncertainty
Yuhong Xu
Model uncertainty is a type of inevitable financial risk. Mistakes on the choice of pricing model may cause great financial losses. In this paper we investigate financial markets w…
Differential games with asymmetric information and without Isaacs condition
Rainer Buckdahn, Marc Quincampoix, Catherine Rainer +1
We investigate a two-player zero-sum differential game with asymmetric information on the payoff and without Isaacs condition. The dynamics is an ordinary differential equation par…
Multidimensional dynamic risk measure via conditional g-expectation
Yuhong Xu
This paper deals with multidimensional dynamic risk measures induced by conditional -expectations. A notion of multidimensional -expectation is proposed to provide a multidim…
Backward stochastic differential equations under super linear G-expectation and associated Hamilton-Jacobi-Bellman equations
Yuhong Xu
This paper first studies super linear G-expectation. Uniqueness and existence theorem for backward stochastic differential equations (BSDEs) under super linear expectation is estab…