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Linear quadratic stochastic integral games and related topics

Science China Mathematics 2015年第11期58卷 2405-2420页

作者： WANG TianXiao SHI YuFeng School of Mathematics Sichuan University School of Statistics Shandong University of Finance and Economics Institute for Financial Studies and School of Mathematics Shandong University

This paper studies linear quadratic games problem for stochastic Volterra integral equations(SVIEs in short) where necessary and sufficient conditions for the existence of saddle points are derived in two different *** a consequence,the open problems raised by Chen and Yong(2007) are *** characterize the saddle points more clearly,coupled forward-backward stochastic Volterra integral equations and stochastic Fredholm-Volterra integral equations are *** with deterministic game problems,some new terms arising from the procedure of deriving the later equations reflect well the essential nature of stochastic ***,our representations and arguments are even new in the classical SDEs case.

关键词： stochastic integral games backward stochastic Volterra integral equations stochastic Fredholm-Volterra integral equations saddle points linear quadratic optimal control problems

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Asymptotic dynamics of a modified discrete Leslie-Gower competition system

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International Journal of Biomathematics 2017年第6期10卷 1-23页

作者： Yunshyong Chow Sophia R.-J. Jang Institute of Mathematics Academia Sinica Taipei 10617 Taiwan Department of Mathematics and StatisticsTexas Tech University Lubbock TX 79409-1042 USA

We propose a modified discrete-time Leslie-Gower competition system of two popula- tions to study competition outcomes. Depending on the magnitude of a particular model parameter that measures intraspecific competition between individuals within the same population, either one or both populations may be subject to Allee effects. The resulting system can have up to four coexisting steady states. Using the theory of planar compet- itive maps, it is shown that the model has only equilibrium dynamics. The competition outcomes then depend not only on the parameter regimes but may also depend on the initial population distributions.

关键词： Competition saddle points Allee effects.

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Optimal investment and consumption with forward preferences and uncertain parameters

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Probability, Uncertainty and Quantitative Risk 2024年第1期9卷 65-84页

作者： Wing Fung Chong Gechun Liang Marwell Institute for Mathematical Sciences and Department of Actuarial Mathematics and Statistics Heriot-Watt UniversityEdinburgh EH144ASUK Department of Statistics The University of WarwickCoventry CV47ALUK

We introduce and analyze a class of forward performance criteria in incomplete markets in the presence of model *** stems from general investment constraints,while model uncertainty is represented by a convex and compact set of plausible model parameter *** the max-min criteria in traditional(backward)robust control,we formulate similar criteria for the robust forward performance processes and focus on the rich class of time-monotone *** provide a novel PDE characterization and a semi-explicit saddle-point construction of the robust forward performance criteria and their optimal ***,we present additional results within the class of homothetic constant relative risk aversion(CRRA)*** this class,we investigate the relationship between forward performance processes on wealth and those on consumption,establishing an interesting dominance through time.

关键词： Robust forward performance criteria Portfolio constraints Consumption saddle points Constant relative risk aversion

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Super efficiency in vector optimization of set-valued maps

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Progress in Natural Science:Materials International 1998年第6期 21-32页

作者：李仲飞,汪寿阳,LUIS Coladas Department of Management Sciences National Natural Science Foundation of China Beijing 100083 China Department of Statistics and Operation? Research Faculty of Mathematis University of Santiago de Compostela 15771 Santiago de Compostela Spain Institute of Systems Science Chinese Academy of Sciences Beijing 100080 China Department of Mathematics Inner Mongolia University Huhhot 010021 China

The super efficiency for vector optimization of set-valued maps is studied. A scalarization theorem. a Lagrange multiplier theorem, two saddle point theorems and six duality theorems are proved under an assumption of ... 详细信息

关键词： super efficiency vector optimization of set-valued maps Lagrange multipliers saddle points duality.

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