10 papers
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…