6 citations · 11 across the 4 of their papers we have counts for
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Linear-Quadratic Stochastic Stackelberg Differential Games for Jump-Diffusion Systems
Jun Moon
This paper considers linear-quadratic (LQ) stochastic leader-follower Stackelberg differential games for jump-diffusion systems with random coefficients. We first solve the LQ prob…
Backward Reachability Approach to State-Constrained Stochastic Optimal Control Problems for Jump Diffusion Systems
Jun Moon
In this paper, we consider the stochastic optimal control problem for jump diffusion systems with state constraints. In general, the value function of such problems is a discontinu…
Zero-Sum Differential Games on the Wasserstein Space
Jun Moon, Tamer Basar
We consider two-player zero-sum differential games (ZSDGs), where the state process (dynamical system) depends on the random initial condition and the state process's distribution,…
Linear-Quadratic Time-Inconsistent Mean-Field Type Stackelberg Differential Games: Time-Consistent Open-Loop Solutions
Jun Moon, Hyun Jong Yang
In this technical note, we consider the linear-quadratic time-inconsistent mean-field type leader-follower Stackelberg differential game with an adapted open-loop information struc…
State and Control Path-Dependent Stochastic Zero-Sum Differential Games: Viscosity Solutions of Path-Dependent Hamilton-Jacobi-Isaacs Equations
Jun Moon
In this paper, we consider state and control path-dependent stochastic zero-sum differential games, where the dynamics and the running cost include both state and control paths of…