4 citations · 5 across the 13 of their papers we have counts for
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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…