2 papers
q-fin.PM2025
Robust forward investment and consumption under drift and volatility uncertainties: A randomization approach
Wing Fung Chong, Gechun Liang
This paper studies robust forward investment and consumption preferences and optimal strategies for a risk-averse and ambiguity-averse agent in an incomplete financial market with…
math.OC2025
Recursive Optimal Stopping with Poisson Stopping Constraints
Gechun Liang, Wei Wei, Zhen Wu +1
This paper solves a recursive optimal stopping problem with Poisson stopping constraints using the penalized backward stochastic differential equation (PBSDE) with jumps. Stopping…