11 citations · 14 across the 4 of their papers we have counts for
11 papers
Optimal Controls for Forward-Backward Stochastic Differential Equations: Time-Inconsistency and Time-Consistent Solutions
Hanxiao Wang, Jiongmin Yong, Chao Zhou
This paper is concerned with an optimal control problem for a forward-backward stochastic differential equation (FBSDE, for short) with a recursive cost functional determined by a…
Linear-Quadratic Optimal Controls for Stochastic Volterra Integral Equations: Causal State Feedback and Path-Dependent Riccati Equations
Hanxiao Wang, Jiongmin Yong, Chao Zhou
A linear-quadratic optimal control problem for a forward stochastic Volterra integral equation (FSVIE, for short) is considered. Under the usual convexity conditions, open-loop opt…
Turnpike Properties for Stochastic Linear-Quadratic Optimal Control Problems
Jingrui Sun, Hanxiao Wang, Jiongmin Yong
This paper analyzes the limiting behavior of stochastic linear-quadratic optimal control problems in finite time horizon as . The so-called turnpike pro…
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…
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…
Path Dependent Feynman-Kac Formula for Forward Backward Stochastic Volterra Integral Equations
Hanxiao Wang, Jiongmin Yong, Jianfeng Zhang
This paper is concerned with the relationship between forward-backward stochastic Volterra integral equations (FBSVIEs, for short) and a system of (non-local in time) path dependen…