2 papers
math.OC2025
An extended Merton problem with relaxed benchmark tracking
Lijun Bo, Yijie Huang, Xiang Yu
This paper studies Merton's problem in an extended formulation by incorporating the benchmark tracking on the wealth process. We consider a tracking formulation where the fund mana…
math.PR2024
A decomposition-homogenization method for Robin boundary problems on the nonnegative orthant
Lijun Bo, Yijie Huang, Xiang Yu
This paper studies the existence and uniqueness of a classical solution to a type of Robin boundary problems on the nonnegative orthant. We propose a new decomposition-homogenizati…