Author

Yang Liu

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Preprint Oct 2026

Robust distortion riskmetrics under Wasserstein ambiguity

Risk evaluation under distributional ambiguity is central to decision making in finance, economics, and operations research. Wasserstein balls provide a natural way to describe uncertainty around a reference distribution. We solve a natural yet open problem of robust optimization for the class of distortion riskmetrics...

Yang Liu, Qiu-Qi Wang, Yi-Han Wang · 0 citations

Preprint Oct 2026

Recursive Stochastic Linear-Quadratic Control with Indefinite Weights for Jump-Diffusion Systems with Random Coefficients

We study finite-horizon stochastic linear-quadratic (LQ) control for finite-activity jump diffusions with bounded random coefficients, indefinite weights and a linear recursive cost. The cost is defined by a backward stochastic differential equation (BSDE) whose generator has bounded deterministic coefficients multiply...

Xin-Yu Ma, Yang Liu, Qing-Xin Meng · 1 citation · ⚡1