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math.PR2023
Well-posedness for a class of mean field type FBSDEs and classical solutions of related master equations
Tianjiao Hua, Peng Luo
In this paper, we study a class of mean field type FBSDEs. We propose a class of motonotinity conditions, under which we show the uniformly Lipschitz continuity of the decoupling f…
math.OC2023
Stochastic linear-quadratic optimal control problems with multi-dimensional state and non-Markovian regime switching
Yuyang Chen, Peng Luo
This paper investigates the stochastic linear-quadratic (LQ, for short) optimal control problems with non-Markovian regime switching in a finite time horizon where the state equati…