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math.PR2018
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…
math.PR2018
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…
math.PR2018
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…