4 citations · 5 across the 13 of their papers we have counts for
13 papers
Randomized Optimal Switching Problem and Related Mirror Descent Flow
Yuchao Dong
We study continuous-time reinforcement learning for the optimal switching problem, in which a decision-maker controls a diffusion process by switching among finitely many regimes,…
Double free boundary problem for defaultable corporate bond with credit rating migration risks and their asymptotic behaviors
Yuchao Dong, Jin Liang, Claude-Michel Brauner
In this work, a pricing model for a defaultable corporate bond with credit rating migration risk is established. The model turns out to be a free boundary problem with two free bou…
Randomized Optimal Stopping Problem in Continuous time and Reinforcement Learning Algorithm
Yuchao Dong
In this paper, we study the optimal stopping problem in the so-called exploratory framework, in which the agent takes actions randomly conditioning on current state and an entropy-…
The Relationship between Maximum Principle and Dynamic Programming Principle for Stochastic Recursive Control Problem with Random Coefficients
Yuchao Dong, Qingxin Meng, Qi Zhang
This paper aims to explore the relationship between maximum principle and dynamic programming principle for stochastic recursive control problem with random coefficients. Under cer…
Optimal controls of stochastic differential equations with jumps and random coefficients: Stochastic Hamilton-Jacobi-Bellman equations with jumps
Qingxin Meng, Yuchao Dong, Yang Shen +1
In this paper, we study the following nonlinear backward stochastic integral partial differential equation with jumps \begin{equation*} \left\{ \begin{split} -d V(t,x) =&\displayst…
Weak Limits of Random Coefficient Autoregressive Processes and their Application in Ruin Theory
Yuchao Dong, Jérôme Spielmann
We prove that a large class of discrete-time insurance surplus processes converge weakly to a generalized Ornstein-Uhlenbeck process, under a suitable re-normalization and when the…
Backward Stochastic Riccati Equation with Jumps associated with Stochastic Linear Quadratic Optimal Control with Jumps and Random Coefficients
Fu Zhang, Yuchao Dong, Qingxin Meng
In this paper, we investigate the solvability of matrix valued Backward stochastic Riccati equations with jumps (BSREJ), which is associated with a stochastic linear quadratic (SLQ…
Utility maximization for L{é}vy switching models
Lioudmila Vostrikova, Yuchao Dong
This article is devoted to the maximisation of HARA utilities of L{é}vy switching process on finite time interval via dual method. We give the description of all f-divergence minim…
The Obstacle Problem for Quasilinear Stochastic PDEs with Neumann boundary condition
Yuchao Dong, Xue Yang, Jing Zhang
We prove the existence and uniqueness of solution of the obstacle problem for quasilinear stochastic partial differential equations (OSPDEs for short) with Neumann boundary conditi…
The Obstacle Problem for Quasilinear Stochastic Integral-Partial Differential Equations
Yuchao Dong, Xue Yang, Jing Zhang
We prove an existence and uniqueness result for the obstacle problem for quasilinear stochastic integral-partial differential equations. Our method is based on the probabilistic in…
Second-Order Necessary Conditions for Optimal Control with Recursive Utilities
Yuchao Dong, Qingxin Meng
The necessary conditions for an optimal control of a stochastic control problem with recursive utilities is investigated. The first order condition is the the well-known Pontryagin…
Constrained LQ problem with a random jump and application to portfolio selection
Yuchao Dong
In this paper, we consider a constrained stochastic linear-quadratic (LQ) optimal control problem where the control is constrained in a closed cone. The state process is governed b…
Jump stochastic differential equations with non-Lipschitz and superlinearly growing coefficients
Yuchao Dong
In the paper, we consider the no-explosion condition and pathwise uniqueness for SDEs driven by a Poisson random measure with coefficients that are super-linear and non-Lipschitz.…