We apply dynamic programming principle to discuss two optimal investment problems by
using zero-sum and nonzero-sum stochastic game approaches in a continuous-time Markov …

We study a stochastic optimal control problem for a delayed Markov regime-switching jump-
diffusion model. We establish necessary and sufficient maximum principles under full and …

Utilizing frame duality and a FFT-based implementation of density projection we develop a
novel and efficient transform method to price Asian options for very general asset dynamics …

In this work, a discrete-time mean-field type stochastic optimal control problem is studied.
The goal is to derive the stochastic maximum principle with convex control domains. L …

This paper establishes a necessary and sufficient stochastic maximum principle for a mean-
field model with randomness described by Brownian motions and Poisson jumps. We also …

We establish Itô's formula along flows of probability measures associated with general
semimartingales; this generalizes existing results for flows of measures on Itô processes …

This paper considers the linear–quadratic (LQ) leader–follower Stackelberg differential
game for Markov jump-diffusion stochastic differential equations (SDEs). We first obtain the …

In this paper, we develop a global form stochastic maximum principle for a Markov regime
switching mean-field model driven by Brownian motions and Poisson jumps. The form of the …

Rumours are a kind of information that has a impact on social life and economies, which
spread quickly and widely, especially, via internet. Recently, the spread of information …

This paper is first concerned with one kind of discrete-time stochastic optimal control
problem with convex control domains, for which necessary condition in the form of …