22 citations · 46 across the 22 of their papers we have counts for
6 papers · 1 filter
Stochastic Riccati equations with jumps for indefinite linear-quadratic control: A stochastic value-flow approach
Kai Ding, Jiaqiang Wen, Jie Xiong +1
This paper studies the nonlinear matrix-valued stochastic Riccati equation with jumps (SRE-J) arising from indefinite stochastic linear-quadratic optimal control problems with rand…
A Global Maximum Principle for Controlled Conditional Mean-field FBSDEs with Regime Switching
Tao Hao, Jiaqiang Wen, Jie Xiong
This paper is devoted to a global stochastic maximum principle for conditional mean-field forward-backward stochastic differential equations (FBSDEs, for short) with regime switchi…
Dynamic programming principle for delayed stochastic recursive optimal control problem and HJB equation with non-Lipschitz generator
Jiaqiang Wen, Zhen Wu, Qi Zhang
In this paper, we study the delayed stochastic recursive optimal control problem with a non-Lipschitz generator, in which both the dynamics of the control system and the recursive…
General Indefinite Backward Stochastic Linear-Quadratic Optimal Control Problems
Jingrui Sun, Jiaqiang Wen, Jie Xiong
A general backward stochastic linear-quadratic optimal control problem is studied, in which both the state equation and the cost functional contain the nonhomogeneous terms. The ma…
Stochastic Linear Quadratic Optimal Control Problems with Random Coefficients and Markovian Regime Switching System
Jiaqiang Wen, Xun Li, Jie Xiong +1
This paper thoroughly investigates stochastic linear-quadratic optimal control problems with the Markovian regime switching system, where the coefficients of the state equation and…
Zero-Sum Stackelberg Stochastic Linear-Quadratic Differential Games
Jingrui Sun, Hanxiao Wang, Jiaqiang Wen
The paper is concerned with a zero-sum Stackelberg stochastic linear-quadratic (LQ, for short) differential game over finite horizons. Under a fairly weak condition, the Stackelber…