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Optimal Incentive Contract for Sales Team with Loss Aversion Preference
期刊论文
SYMMETRY-BASEL, 2019, 卷号: 11, 期号: 7
作者:
Li, Chao
;
Cheng, Si-Jie
;
Cheng, Peng-Fei*
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|
浏览/下载：2/0
|
提交时间：2019/12/03
sales team
information symmetry
moral hazard
loss aversion
BSDE
HJB equation
Mean-variance hedging with basis risk
期刊论文
APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY, 2019, 卷号: 35, 期号: 3, 页码: 704-716
作者:
Xue, Xiaole
;
Zhang, Jingong
;
Weng, Chengguo
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|
浏览/下载：5/0
|
提交时间：2019/12/11
basis risk
BSDE
Malliavin derivative
mean-variance analysis
optimal
hedging
stochastic LQ control
Representation of asymptotic values for nonexpansive stochastic control systems
期刊论文
STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2019, 卷号: 129, 期号: 2, 页码: 634-673
作者:
Li, Juan
;
Zhao, Nana
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|
浏览/下载：6/0
|
提交时间：2019/12/11
Stochastic nonexpansivity condition
Limit value
BSDE
Fair bilateral pricing under funding costs and exogenous collateralization
期刊论文
MATHEMATICAL FINANCE, 2018, 卷号: 28, 期号: 2, 页码: 621-655
作者:
Nie, Tianyang
;
Rutkowski, Marek
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|
浏览/下载：5/0
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提交时间：2019/12/11
BSDE
collateral
fair pricing
funding costs
hedging
PDE
Mean-variance hedging with basis risk
期刊论文
Applied Stochastic Models in Business and Industry, 2018
作者:
Xue X.
;
Zhang J.
;
Weng C.
收藏
|
浏览/下载：3/0
|
提交时间：2019/12/11
basis risk
BSDE
Malliavin derivative
mean-variance analysis
optimal hedging
stochastic LQ control
LINEAR QUADRATIC MEAN-FIELD-GAME OF BACKWARD STOCHASTIC DIFFERENTIAL SYSTEMS
期刊论文
MATHEMATICAL CONTROL AND RELATED FIELDS, 2018, 卷号: 8, 期号: 3-4, 页码: 653-678
作者:
Du, Kai
;
Huang, Jianhui
;
Wu, Zhen
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浏览/下载：10/0
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提交时间：2019/12/11
Backward mean-field game (BMFG)
epsilon-Nash equilibrium
Hamiltonian-type consistency condition (HCC)
Riccati-type consistency
condition (RCC)
backward stochastic differential equation (BSDE)
On optimal stopping and free boundary problems under ambiguity
期刊论文
STATISTICS & PROBABILITY LETTERS, 2018, 卷号: 139, 页码: 129-134
作者:
Zhao, Guoqing
;
Zhai, Kun
;
Zong, Gaofeng
收藏
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浏览/下载：8/0
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提交时间：2019/12/11
BSDE
g-expectation
Optimal stopping
Free boundary problem
Ambiguity
BSDES IN GAMES, COUPLED WITH THE VALUE FUNCTIONS. ASSOCIATED NONLOCAL BELLMAN-ISAACS EQUATIONS
期刊论文
数学物理学报（英文版）, 2017, 卷号: 37, 期号: 5, 页码: 1497-1518
作者:
Hao, Tao
;
Li, Juan
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浏览/下载：12/0
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提交时间：2019/12/11
McKean-Vlasov SDE
BSDE coupled with the lower and the upper value functions
dynamic programming principle
mean-field BSDE
viscosity solution
coupled nonlocal HJB-Isaacs equation
Isaacs\' condition
BSDES IN GAMES, COUPLED WITH THE VALUE FUNCTIONS. ASSOCIATED NONLOCAL BELLMAN-ISAACS EQUATIONS
期刊论文
Acta Mathematica Scientia(English Series), 2017, 期号: 05, 页码: 1497-1518
作者:
Hao T(郝涛)
;
Li J(李娟)
收藏
|
浏览/下载：10/0
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提交时间：2019/12/11
Mc Kean-Vlasov SDE
BSDE coupled with the lower and the upper value functions
dynamic programming principle
mean-field BSDE
viscosity solution
coupled nonlocal HJB-Isaacs equation
Isaacs\' condition
The Connection between Mean-Field Linear-Quadratic-Gaussian Games of Forward and Backward Stochastic Differential Systems
会议论文
Chinese Automation Congress (CAC), OCT 20-22, 2017
作者:
Du, Kai
;
Wu, Zhen
收藏
|
浏览/下载：9/0
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提交时间：2019/12/31
backward stochastic differential equation (BSDE)
large population
system
is an element of-Nash equilibriumis
MFLQG game
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