2 papers
q-fin.MF2025
Maximum principle for robust utility optimization via Tsallis relative entropy
Xueying Huang, Peng Luo, Dejian Tian
This paper investigates an optimal consumption-investment problem featuring recursive utility via Tsallis relative entropy. We establish a fundamental connection between this optim…
math.OC2025
Extended mean field games with terminal constraint via decoupling fields
Tianjiao Hua, Peng Luo
We consider a class of extended mean field games with common noises, where there exists a strictly terminal constraint. We solve the problem by reducing it to an unconstrained cont…