Fei, Chen
- Optimal stochastic control and optimal consumption and portfolio with G-Brownian motion
2013/09/01 by Weiyin Fei, Fei, Weiyin, Chen Fei +1 · 3 citations
Decision Sciences · Economics, Econometrics and Finance · Mathematics · Social Sciences · #60H30 #91G10 #93E20 #FOS: Mathematics #Insurance, Mortality, Demography, Risk Management #Optimization and Control (math.OC) #Probability (math.PR) #Risk and Portfolio Optimization #Stochastic processes and financial applications #math.OC #math.PR #msc:60H30 #msc:91G10 #msc:93E20
- Positivity-preserving truncated Euler and Milstein methods for financial SDEs with super-linear coefficients
2024/10/08 by Shounian Deng, Deng, Shounian, Fei Chen +5 · 1 citation
Economics, Econometrics and Finance · #FOS: Mathematics #Numerical Analysis (math.NA) #Stochastic processes and financial applications