A decomposition method reduces LQ conditional McKean-Vlasov control problems with random coefficients to two decoupled stochastic optimal control problems whose optimal controls sum to the original optimum.
Pham, Continuous-time Stochastic Control and Optimization with Financial Applications, volume 61
2 Pith papers cite this work. Polarity classification is still indexing.
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Pith papers citing it
years
2026 2verdicts
UNVERDICTED 2representative citing papers
Develops a CVaR continuous-time model combining put options and trend following for tail risk, deriving an HJB equation and illustrating hybrid CVaR reductions via stylized Monte Carlo.
citing papers explorer
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Tail Risk Management with Puts and Trend Following: A CVaR Framework for Crashes and Drawdowns
Develops a CVaR continuous-time model combining put options and trend following for tail risk, deriving an HJB equation and illustrating hybrid CVaR reductions via stylized Monte Carlo.