11 citations · 12 across the 6 of their papers we have counts for
7 papers
Robust control problems of BSDEs coupled with value functions
Zhou Yang, Jing Zhang, Chao Zhou
A robust control problem is considered in this paper, where the controlled stochastic differential equations (SDEs) include ambiguity parameters and their coefficients satisfy non-…
Minimal Quantile Functions Subject to Stochastic Dominance Constraints
Xiangyu Wang, Jianming Xia, Zuo Quan Xu +1
We consider a problem of finding an SSD (second-order stochastic dominance)-minimal quantile function subject to the mixture of FSD (first-order stochastic dominance) and SSD const…
Analysis of the optimal exercise boundary of American put options with delivery lags
Gechun Liang, Zhou Yang
A make-your-mind-up option is an American derivative with delivery lags. We show that its put option can be decomposed as a European put and a new type of American-style derivative…
Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs
Zhou Yang, Gechun Liang, Chao Zhou
This paper studies the properties of the optimal portfolio-consumption strategies in a {finite horizon} robust utility maximization framework with different borrowing and lending r…
Indifference Pricing and Hedging in a Multiple-Priors Model with Trading Constraints
Huiwen Yan, Gechun Liang, Zhou Yang
This paper considers utility indifference valuation of derivatives under model uncertainty and trading constraints, where the utility is formulated as an additive stochastic differ…
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…
Dynkin Game of Stochastic Differential Equations with Random Coefficients, and Associated Backward Stochastic Partial Differential Variational Inequality
Shanjian Tang, Zhou Yang
A Dynkin game is considered for stochastic differential equations with random coefficients. We first apply Qiu and Tang's maximum principle for backward stochastic partial differen…