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math.PR2017★ 2 cited
A Revisit to Optimal Control of Forward-Backward Stochastic Differential System with Observation Noise
Qingxin Meng, Qiuhong Shi, Maoning Tang
This paper revisits the partial information optimal control problem considered by Wang, Wu and Xiong [Wang et al 2013], where the system is derived by a controlled forward-backward…
math.PR2017
Stochastic Evolution Equation Driven by Teugels Martingale and Its Optimal Control
Qingxin Meng, Qiuhong Shi, Maoning Tang
The paper is concerned with a class of stochastic evolution equations in Hilbert space with random coefficients driven by Teugel's martingales and an independent multi-dimensional…
math.PR2017
Optimal Control with State Constraints for Stochastic Evolution Equation with Jumps in Hilbert Space
Qingxin Meng, Qiuhong Shi, Maoning Tang
This paper studies a stochastic optimal control problem with state constraint, where the state equation is described by a controlled stochastic evolution equation with jumps in Hil…