Zobrazeno 1 - 10
of 26
pro vyhledávání: '"Xu, Zuoquan"'
We study a stochastic control problem with regime switching arising in an optimal liquidation problem with dark pools and multiple regimes. The new feature of this model is that it introduces a system of BSDEs with jumps and with singular terminal va
Externí odkaz:
http://arxiv.org/abs/2412.19058
In this paper, we investigate an interesting and important stopping problem mixed with stochastic controls and a \textit{nonsmooth} utility over a finite time horizon. The paper aims to develop new methodologies, which are significantly different fro
Externí odkaz:
http://arxiv.org/abs/1507.00934
Autor:
Shiryaev, Albert1 (AUTHOR), Xu¶, Zuoquan2 (AUTHOR) xuz@maths.ox.ac.uk, Zhou, Xun Yu2,3 (AUTHOR) zhouxy@maths.ox.ac.uk
Publikováno v:
Quantitative Finance. Dec2008, Vol. 8 Issue 8, p765-776. 12p.
Autor:
Shiryaev, Albert1 (AUTHOR), Xu, Zuoquan2 (AUTHOR), Zhou, Xun Yu3,4 (AUTHOR) zhouxy@maths.ox.ac.uk
Publikováno v:
Quantitative Finance. Dec2008, Vol. 8 Issue 8, p761-762. 2p.
Autor:
Xia, Wenjiao1 (AUTHOR), Chen, Jiaxin1 (AUTHOR), Hou, Wenqing1 (AUTHOR), Chen, Junsheng1 (AUTHOR), Xiong, Ying2 (AUTHOR), Li, Hongyan1 (AUTHOR), Qi, Xin1 (AUTHOR), Xu, Hui3 (AUTHOR), Xie, Zuoquan3 (AUTHOR), Li, Mingfeng1 (AUTHOR), Zhang, Xiaomin1 (AUTHOR), Li, Jing1 (AUTHOR) lijing_ouc@ouc.edu.cn
Publikováno v:
International Journal of Molecular Sciences. Apr2023, Vol. 24 Issue 7, p6843. 17p.
Publikováno v:
Mathematics (2227-7390). Feb2023, Vol. 11 Issue 3, p643. 76p.
Autor:
Liu, Zhenya1,2,3 (AUTHOR) zhenya.liu@ruc.edu.cn, Mu, Yuhao1 (AUTHOR)
Publikováno v:
International Journal of Financial Studies. Dec2022, Vol. 10 Issue 4, p96. 23p.
Autor:
Chen, Fangmin, Li, Tianliang, Zhang, Huijuan, Saeed, Madiha, Liu, Xiaoying, Huang, Lujia, Wang, Xiyuan, Gao, Jing, Hou, Bo, Lai, Yi, Ding, Chunyong, Xu, Zhiai, Xie, Zuoquan, Luo, Min, Yu, Haijun
Publikováno v:
Advanced Materials; 3/9/2023, Vol. 35 Issue 10, p1-15, 15p
Publikováno v:
Probability, Uncertainty & Quantitative Risk; 2022, Vol. 7 Issue 4, p385-404, 20p
Key Words: continuous-time model, mean-variance, transaction costs, stochastic singular control, Lagrange multiplier method, parabolic free-boundary problem, double-obstacle problem, Skorokhod problem.
We study continuous-time Markowitz's mean-v
We study continuous-time Markowitz's mean-v
Externí odkaz:
http://library.cuhk.edu.hk/record=b6074183
http://repository.lib.cuhk.edu.hk/en/item/cuhk-343812
http://repository.lib.cuhk.edu.hk/en/item/cuhk-343812