45 citations · 183 across the 41 of their papers we have counts for
7 papers · 1 filter
A maximum principle for progressive optimal control of mean-filed forward-backward stochastic system involving random jumps and impulse controls
Tian Chen, Kai Du, Zongyuan Huang +1
In this paper, we study an optimal control problem of a mean-field forward-backward stochastic system with random jumps in progressive structure, where both regular and singular co…
Linear-Quadratic Delayed Mean-Field Social Optimization
Tianyang Nie, Shujun Wang, Zhen Wu
A linear quadratic (LQ) stochastic optimization problem with delay involving weakly-coupled large population is investigated in this paper. Different to classic mean field (MF) gam…
Linear-Quadratic Mean Field Games of Controls with Non-Monotone Data
Min Li, Chenchen Mou, Zhen Wu +1
In this paper, we study a class of linear-quadratic (LQ) mean field games of controls with common noises and their corresponding -player games. The theory of mean field game of…
Two Equivalent Families of Linear Fully Coupled Forward Backward Stochastic Differential Equations
Ruyi Liu, Zhen Wu, Detao Zhang
In this paper, we investigate two families of fully coupled linear Forward-Backward Stochastic Differential Equations (FBSDE). Within these families, one could get the same well-po…
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…
Linear-Quadratic Large-Population Problem with Partial Information: Hamiltonian Approach and Riccati Approach
Min Li, Tianyang Nie, Zhen Wu
This paper studies a class of partial information linear-quadratic mean-field game problems. A general stochastic large-population system is considered, where the diffusion term of…
Mean-Field Linear-Quadratic Stochastic Differential Games
Jingrui Sun, Hanxiao Wang, Zhen Wu
The paper is concerned with two-person zero-sum mean-field linear-quadratic stochastic differential games over finite horizons. By a Hilbert space method, a necessary condition and…