We study a robust consumption-investment problem with retirement and life insurance
decisions for an agent who is concerned about inflation risk and model ambiguity. Assuming …

Time inconsistency is prevalent in dynamic choice problems: a plan of actions to be taken in
the future that is optimal for an agent today may not be optimal for the same agent in the …

This paper studies dynamic mean-variance (MV) asset allocation problems in general
incomplete markets. Besides of the conventional MV objective on portfolio's terminal wealth …

This paper studies stochastic linear-quadratic control with a time-inconsistent objective and
worst-case drift disturbance. We allow the agent to introduce disturbances to reflect her …

This paper studies a general class of time-inconsistent stochastic control problems under
ambiguous covariance matrix. The time inconsistency is caused in various ways by a …

This paper studies the well‐posedness of a class of nonlocal fully nonlinear parabolic
systems, which nest the equilibrium Hamilton–Jacobi–Bellman (HJB) systems that …

Given two probability measures on sequential data, we investigate the transport problem
with time-inconsistent preferences under a discrete-time setting. Motivating examples are …

This paper investigates the time-consistent mean-variance reinsurance-investment (RI)
problem faced by life insurers. Inspired by recent findings that mortality rates exhibit long …

In this paper, we establish existence, uniqueness, and regularity properties of the solutions
to multi-dimensional backward stochastic Volterra integral equations (BSVIEs), whose …

This work studies distributionally robust evaluation of expected function values over
temporal data. A set of alternative measures is characterized by the causal optimal transport …