From the 1 of 8 linked papers with an AI index.
8 papers
Optimal control of SDEs with merely measurable drift: an HJB approach
Kai Du, Qingmeng Wei
The paper studies optimal control of diffusions whose drift and cost are only measurable, using a Hamilton‑Jacobi‑Bellman (HJB) approach to establish existence, uniqueness, and ver…
Stochastic Representations of Stationary HJBI-Type Variational Inequalities with Bilateral Constraints
Sheng Huang, Qingmeng Wei
In this paper, we study probabilistic representations for stationary HJBI-type variational inequalities with bilateral constraints. We provide two complementary stochastic represen…
Infinite-Horizon Non-Autonomous Zero-Sum Stochastic Recursive Differential Games and HJBI Equations
Sheng Huang, Qingmeng Wei
In this paper, we study an infinite horizon non-autonomous stochastic recursive differential game. To this end, we first establish well-posedness and stability results for BSDEs wi…
Infinite Horizon Linear Quadratic Mean Field Problems with Common Noise and Regime Switching via Conditional McKean-Vlasov FBSDEs
Qingmeng Wei, Yaqi Xu
This paper studies infinite horizon linear quadratic (LQ) mean field problems with common noise and regime switching, covering both control and game formulations. To establish a th…
A Time-Inconsistent Stochastic Optimal Control Problem in an Infinite Time Horizon
Qingmeng Wei, Jiongmin Yong
This paper is concerned with a time-inconsistent stochastic optimal control problem in an infinite time horizon with a non-degenerate diffusion in the state equation. A major assum…
Reflected stochastic recursive control problems with jumps: dynamic programming and stochastic verification theorems
Lu Liu, Qingmeng Wei
This paper mainly investigates reflected stochastic recursive control problems governed by jump-diffusion dynamics. The system's state evolution is described by a stochastic differ…