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pro vyhledávání: '"Nie, Tianyang"'
In this paper, we study the necessary and sufficient conditions for ensuring the well-posedness of the stochastic singular systems. Moreover, we investigate the stochastic singular linear-quadratic control problems, considering both finite and infini
Externí odkaz:
http://arxiv.org/abs/2409.01820
We study a class of linear-quadratic mean-field games with incomplete information. For each agent, the state is given by a linear forward stochastic differential equation with common noise. Moreover, both the state and control variables can enter the
Externí odkaz:
http://arxiv.org/abs/2307.01005
A linear quadratic (LQ) stochastic optimization problem with delay involving weakly-coupled large population is investigated in this paper. Different to classic mean field (MF) game, here agents cooperate with each other to minimize the so-called \em
Externí odkaz:
http://arxiv.org/abs/2301.06022
This paper studies a class of partial information linear-quadratic mean-field game problems. A general stochastic large-population system is considered, where the diffusion term of the dynamic of each agent can depend on the state and control. We stu
Externí odkaz:
http://arxiv.org/abs/2203.10481
Autor:
Nie, Tianyang, Rutkowski, Marek
We prove some new results on reflected BSDEs and doubly reflected BSDEs driven by a multi-dimensional RCLL martingale. The goal is to develop a general multi-asset framework encompassing a wide spectrum of nonlinear financial models, including as par
Externí odkaz:
http://arxiv.org/abs/2103.08917
Autor:
Nie, Tianyang, Rutkowski, Marek
Results on the existence, uniqueness and strict comparison for solutions to a BSDE driven by a multi-dimensional RCLL martingale are established. The goal is to develop a general multi-asset framework encompassing a wide spectrum of nonlinear financi
Externí odkaz:
http://arxiv.org/abs/2103.08898
Publikováno v:
In Systems & Control Letters November 2023 181
Publikováno v:
In Systems & Control Letters July 2023 177
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The goal is to re-examine and extend the findings from the recent paper by Dumitrescu, Quenez and Sulem (2017) who studied game options within the nonlinear arbitrage-free pricing approach developed in El Karoui and Quenez (1997). We consider the set
Externí odkaz:
http://arxiv.org/abs/1807.05448