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math.OC2026
A Unified Theory of Solvability for Stochastic Linear-Quadratic Control Problems I: The Homogeneous Case
Hongwei Mei
The existing theory of stochastic linear-quadratic (LQ) optimal control problems focuses on open-loop and closed-loop solvability. For finite horizon problems, it is widely accepte…
q-fin.PR2026
Option Pricing under Stochastic Volatility and Jumps:A PIDE Framework with Empirical Evidence
Abigail Anokyewaa Mensah, Ayush Jha, Hongwei Mei +3
We develop a partial integro-differential equation (PIDE) framework for option pricing under joint stochastic volatility and jump dynamics, and evaluate its empirical content using…