Hang Shin Link
Siu Lek Yuen
Shatin, Hong Kong
China
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.
Fluctuating market environment, co-op advertising, differential games, Sethi model, feedback Stackelberg equilibrium
Advertising; Dynamic Optimization; Product Failure; Planned Obsolescence; Durable Goods
Advertising policy, dynamic sales-advertising model, Sethi advertising model, Nash equilibrium, Stackelberg equilibrium.
Finance; Robust portfolio selection; Return predictability; Transient and permanent price impacts; Coupled differential Riccati system.
Dynamic Trading; Markovian Jump System; Matrix Riccati Differential System; Markov Switching; Temporary and Permanent Price Impacts; Price Distortions
Reinsurance, Non-Zero-Sum Stochastic Differential Game, Relative Performance Concerns, Ambiguous Correlation, $g$-Brownian Motion, Hamiltonian-Jacobi-Bellman-Isaacs Equation, Nash Equilibrium, Externalities
production-inventory system, optimal replenishment rate, lost sales, Lévy subordinator, Fourier-Cosine method
Dynamic trading; Robust portfolio selection; Return predictability; Temporary and perma- nent price impa