68 citations · 173 across the 32 of their papers we have counts for
5 papers · 1 filter
Optimal Controls for Forward-Backward Stochastic Differential Equations: Time-Inconsistency and Time-Consistent Solutions
Hanxiao Wang, Jiongmin Yong, Chao Zhou
This paper is concerned with an optimal control problem for a forward-backward stochastic differential equation (FBSDE, for short) with a recursive cost functional determined by a…
Robust control problems of BSDEs coupled with value functions
Zhou Yang, Jing Zhang, Chao Zhou
A robust control problem is considered in this paper, where the controlled stochastic differential equations (SDEs) include ambiguity parameters and their coefficients satisfy non-…
Linear-Quadratic Mean Field Games of Controls with Non-Monotone Data
Min Li, Chenchen Mou, Zhen Wu +1
In this paper, we study a class of linear-quadratic (LQ) mean field games of controls with common noises and their corresponding -player games. The theory of mean field game of…
Linear-Quadratic Optimal Controls for Stochastic Volterra Integral Equations: Causal State Feedback and Path-Dependent Riccati Equations
Hanxiao Wang, Jiongmin Yong, Chao Zhou
A linear-quadratic optimal control problem for a forward stochastic Volterra integral equation (FSVIE, for short) is considered. Under the usual convexity conditions, open-loop opt…
Power Forward Performance in Semimartingale Markets with Stochastic Integrated Factors
Lijun Bo, Agostino Capponi, Chao Zhou
We study the forward investment performance process (FIPP) in an incomplete semimartingale market model with closed and convex portfolio constraints, when the investor's risk prefe…