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A kind of stochastic recursive Zero-Sum differential game problem with double obstacles constraint
期刊论文
Communications in Statistics - Theory and Methods, 2019
作者:
Wu Z.
;
Xu Z.
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浏览/下载:7/0
  |  
提交时间:2019/12/11
doubly reflected backward stochastic differential equation
mixed differential game
recursive utility
stochastic zero-sum differential game
sufficient condition
RECURSIVE UTILITY OPTIMIZATION WITH CONCAVE COEFFICIENTS
期刊论文
MATHEMATICAL CONTROL AND RELATED FIELDS, 2018, 卷号: 8, 期号: 3-4, 页码: 753-775
作者:
Ji, Shaolin
;
Shi, Xiaomin
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浏览/下载:3/0
  |  
提交时间:2019/12/11
Recursive utility optimization
convex duality
nonsmooth coefficient
nonlinear equation
saddle point
Near-maximum principle for general recursive utility optimal control problem
期刊论文
INTERNATIONAL JOURNAL OF CONTROL, 2018, 卷号: 91, 期号: 10, 页码: 2187-2198
作者:
Yang, Shuzhen
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浏览/下载:2/0
  |  
提交时间:2019/12/11
Near-maximum principle
recursive utility
backward SDEs
optimal
control
PARTIAL AMBIGUITY
期刊论文
ECONOMETRICA, 2017, 卷号: 85, 期号: 4, 页码: 1239-1260
作者:
Chew, Soo Hong
;
Miao, Bin
;
Zhong, Songfa
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浏览/下载:9/0
  |  
提交时间:2019/08/22
Risk
ambiguity
Ellsberg paradox
experiment
Choquet expected utility
maxmin expected utility
recursive non-expected utility
source preference
Near-maximum principle for general recursive utility optimal control problem
期刊论文
International Journal of Control, 2017, 页码: 1-12
作者:
Yang S.
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浏览/下载:8/0
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提交时间:2019/12/16
backward SDEs
Near-maximum principle
optimal control
recursive utility
Nash equilibrium points of recursive nonzero-sum stochastic differential games with unbounded coefficients and related multiple dimensional BSDEs
期刊论文
Mathematical Control and Related Fields, 2017, 卷号: 7, 期号: 2, 页码: 289-304
作者:
Mu R.
;
Wu Z.
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浏览/下载:5/0
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提交时间:2019/12/12
Backward stochastic differential equations
Isaacs condition
Nash equilibrium point
Nonzero-sum stochastic differential games
Recursive utility
Momentum in strategic asset allocation
期刊论文
International Review of Economics and Finance, 2017, 卷号: Vol.47, 页码: 115-127
作者:
Wu, H
;
Ma, CQ
;
Yue, SJ
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浏览/下载:3/0
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提交时间:2019/12/31
Momentum
Strategic asset allocation
Intertemporal hedging demand
Recursive utility
Recursive Utility Maximization for Terminal Wealth under Partial Information
期刊论文
MATHEMATICAL PROBLEMS IN ENGINEERING, 2016, 卷号: 2016
作者:
Ji, Shaolin
;
Shi, Xiaomin
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浏览/下载:3/0
  |  
提交时间:2019/12/16
Robust Consumption and Portfolio Choice with Habit Formation, the Spirit of Capitalism and Recursive Utility
期刊论文
ANNALS OF ECONOMICS AND FINANCE, 2015, 卷号: 16, 期号: 2, 页码: 393-416
作者:
Wang, Haijun
;
Hou, L. Steven
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浏览/下载:4/0
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提交时间:2019/08/22
Consumption and portfolio choice
Habit formation
The spirit of capitalism
Recursive utility
Robustness
Recursive mean-variance portfolio choice problems with constrained portfolios
期刊论文
Chinese Control Conference, CCC, 2015, 卷号: 2015-September, 页码: 2446-2449
作者:
Lv, Siyu
;
Wu, Zhen
;
Zhuang, Yi
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浏览/下载:8/0
  |  
提交时间:2019/12/17
Forward-backward stochastic system
Linear-convex optimal control problem
Maximum principle
Mean-variance portfolio selection
Recursive utility
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