Hang Shin Link
Siu Lek Yuen
Shatin, Hong Kong
Department of Mathematics, Statistics and Insurance, School of Decision Sciences, The Hang Seng University of Hong Kong
Stochastic optimal control; Application in finance; Optimal portfolio execution problem; Regime-switching price impact; Markov jump system; Coupled differential Riccati equations.
Stackelberg differential game, Nash differential game, feedback solution, cooperative advertising
cooperative advertising, sales-advertising dynamics, the Sethi model, differential games, linear and isoelastic demands.
Continuous-time investment and consumption problem; Return predictability; Linear temporary price impact; Execution costs; Utility maximization.
Reinsurance, Non-Zero-Sum Stochastic Differential Game, Relative Performance Concerns, Ambiguous Correlation, $g$-Brownian Motion, Hamiltonian-Jacobi-Bellman-Isaacs Equation, Nash Equilibrium, Externalities
Fluctuating market environment, co-op advertising, differential games, Sethi model, feedback Stackelberg equilibrium
Dynamic Sales-Advertising Model, Sethi Advertising Model, Advertising Policy, Generalized Sethi Model, Integrated Marketing Communications.
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