11 citations · 27 across the 8 of their papers we have counts for
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math.OC2024
Non-concave utility maximization problem with transaction costs and a given consistent price system
Lingqi Gu, Yiqing Lin
We investigate expected utility maximization problems from the terminal liquidation value in continuous time in markets with transaction costs and one fixed consistent price system…
math.OC2020
Random horizon principal-agent problems
Yiqing Lin, Zhenjie Ren, Nizar Touzi +1
We consider a general formulation of the random horizon Principal-Agent problem with a continuous payment and a lump-sum payment at termination. In the European version of the prob…