In this article, we prove the existence of bounded solutions of quadratic backward SDEs with jumps, that is to say for which the generator has quadratic growth in the variables (z,u). From a technical point of view, we use a direct fixed point approach as in Tevzadze [38], which allows us to...

In this article, we follow the study of quadratic backward SDEs with jumps,that is to say for which the generator has quadratic growth in the variables (z; u), started in our accompanying paper [15]. Relying on the existence and uniqueness result of [15], we define the corresponding...

The problem of robust utility maximization in an incomplete market with volatility uncertainty is considered, in the sense that the volatility of the market is only assumed to lie between two given bounds. The set of all possible models (probability measures) considered here is non-dominated. We...

We study an optimal liquidation problem under the ambiguity with respect to price impact parameters. Our main results show that the value function and the optimal trading strategy can be characterized by the solution to a semi-linear PDE with superlinear gradient, monotone generator and singular...

We show that under a dynamic information acquisition process, a risk averse investor's unconditional expected optimal quantity of information and investment amount are higher than those under the corresponding static information acquisition process. However, when the initial belief of the...

Technology advances have enhanced competition in insurance industry. This paper investigates a class of dynamic asset and liability management(ALM) game among mean-variance insurers with relative log return performance. We obtain the unique explicit time-consistent equilibrium ALM strategies for...

In this article, a class of mean-variance portfolio selection problems with constant risk aversion is investigated by means of closed-loop equilibrium strategies. Thanks to the non-Markovian setting, two delicate kinds of equilibrium strategies are introduced and both of them obviously reduce to...

Central and local governments around the world are seeking investments from private firms tocreate smart city solutions. Motivated by this, we model an investor and a local governmentwith a Stackelberg game. The investor has a CARA (or exponential) utility function and she hasan option to...

On 10 April, 2007, the United States requested consultations with China through DSB of WTO concerning certain measures pertaining to the protection and enforcement of intellectual property rights in China. The focus of this thesis is on the first argument of USTR about the thresholds for...

We study an optimal liquidation problem under the ambiguity with respect to price impact parameters. Our main results show that the value function and the optimal trading strategy can be characterized by the solution to a semi-linear PDE with superlinear gradient, monotone generator and singular...