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of 161
pro vyhledávání: '"Yi, Fahuai"'
This paper studies a finite horizon utility maximization problem on excessive consumption under a drawdown constraint. Our control problem is an extension of the one considered in Bahman et al. (2019) to the model with a finite horizon and an extensi
Externí odkaz:
http://arxiv.org/abs/2207.07848
Publikováno v:
In Automatica March 2025 173
This paper studies a life-time consumption-investment problem under the Black-Scholes framework, where the consumption rate is subject to a lower bound constraint that linearly depends on her wealth. It is a stochastic control problem with state-depe
Externí odkaz:
http://arxiv.org/abs/2109.06378
Autor:
Xu, Zuo Quan, Yi, Fahuai
Publikováno v:
Mathematics of Operations Research, Vol. 45, 2020, 384-401
In practice, one must recognize the inevitable incompleteness of information while making decisions. In this paper, we consider the optimal redeeming problem of stock loans under a state of incomplete information presented by the uncertainty in the (
Externí odkaz:
http://arxiv.org/abs/1901.06680
Publikováno v:
In Journal of Mathematical Analysis and Applications 1 December 2022 516(1)
Autor:
Han, Xiaoru, Yi, Fahuai
Publikováno v:
In Communications in Nonlinear Science and Numerical Simulation June 2022 109
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
This paper studies the valuation and optimal strategy of convertible bonds as a Dynkin game by using the reflected backward stochastic differential equation method and the variational inequality method. We first reduce such a Dynkin game to an optima
Externí odkaz:
http://arxiv.org/abs/1503.08961
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In this paper, we investigate dynamic optimization problems featuring both stochastic control and optimal stopping in a finite time horizon. The paper aims to develop new methodologies, which are significantly different from those of mixed dynamic op
Externí odkaz:
http://arxiv.org/abs/1406.6940