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pro vyhledávání: '"He, Xihao"'
Autor:
He, Xihao
This paper focuses on a mean-field optimal stopping problem with non-Markov dynamics and common noise, inspired by Talbi, Touzi, and Zhang \cite{TalbiTouziZhang1,TalbiTouziZhang3}. The goal is to establish the limit theory and demonstrate the equival
Externí odkaz:
http://arxiv.org/abs/2310.00407
We study a mean-field version of Bank-El Karoui's representation theorem of stochastic processes. Under different technical conditions, we establish some existence and uniqueness results. As motivation and first applications, our mean-field represent
Externí odkaz:
http://arxiv.org/abs/2302.03300
We study an exit contract design problem, where one provides a universal exit contract to multiple heterogeneous agents, with which each agent chooses an optimal (exit) stopping time. The problem consists in optimizing the universal exit contract w.r
Externí odkaz:
http://arxiv.org/abs/2108.09008
Autor:
He, Xihao1 (AUTHOR) xiaolu.tan@cuhk.edu.hk, Tan, Xiaolu1 (AUTHOR) xiaolu.tan@cuhk.edu.hk, Zou, Jun1 (AUTHOR)
Publikováno v:
ESAIM: Control, Optimisation & Calculus of Variations. 2023, Vol. 29, p1-33. 33p.
