We formulate the open-loop control framework for time-consistent mean–variance (TCMV)
portfolio problems in incomplete markets with stochastic volatility (SV). We offer the …

Nowadays, manufacturers face intense pressure to maintain a high standard of quality. Due
to the damage to machine components, manufacturing processes degrade over time …

This paper solves for the robust time-consistent mean–variance portfolio selection problem
on multiple risky assets under a principle component stochastic volatility model. The model …

This paper studies a class of robust mean–variance portfolio selection problems with state-
dependent risk aversion. Model uncertainty, in the sense of considering alternative …

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 …

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

This paper studies robust time-inconsistent (TIC) linear-quadratic stochastic control
problems, formulated by stochastic differential games. By a spike variation approach, we …

This paper establishes a general analytical framework for classical and impulse stochastic
control problems in the presence of model uncertainty. We consider a set of dominated …

This paper proves the existence and uniqueness results (in the sense of maximally defined
regularity) as well as the stability analysis for the solutions to a class of nonlocal fully …