4 citations · 4 across the 5 of their papers we have counts for
Showing 2016Show all
2 papers · 1 filter
math.OC2016
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…
math.PR2016
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.…