11 citations · 29 across the 16 of their papers we have counts for
18 papers
Sub-Infinite Horizon Stochastic Linear-Quadratic Optimal Control Problems and Delayed Backward Riccati Equations
Yutao Chen, Hongwei Lou, Hanxiao Wang
In this paper, we investigate a class of so-called sub-infinite horizon stochastic linear-quadratic optimal control problems, in which the initial time is arbitrarily taken fro…
Stackelberg Stochastic Linear-Quadratic Differential Games: A Closed-Loop Equilibrium Approach
Qi Lü, Bowen Ma, Hanxiao Wang
This paper addresses a Stackelberg stochastic linear-quadratic (LQ) differential game under closed-loop information, a problem inherently time-inconsistent. Existing approaches rel…
Solvability of Coupled Forward-Backward Volterra Integral Equations
Wenyang Li, Hanxiao Wang, Jiongmin Yong
Motivated by the optimality system associated with controlled (forward) Volterra integral equations (FVIEs, for short), the well-posedness of coupled forward-backward Voterra integ…
Dynamic Coalition Portfolio Selection with Recursive Utility
Hanxiao Wang, Chao Zhou
In this paper, we consider a dynamic coalition portfolio selection problem, with each agent's objective given by an Epstein--Zin recursive utility. To find a Pareto optimum, the co…
Present-Biased Lobbyists in Linear Quadratic Stochastic Differential Games
Ali Lazrak, Hanxiao Wang, Jiongmin Yong
We investigate a linear quadratic stochastic zero-sum game where two players lobby a political representative to invest in a wind turbine farm. Players are time-inconsistent becaus…
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…
Backward Stochastic Differential Equations and Backward Stochastic Volterra Integral Equations with Anticipating Generators
Hanxiao Wang, Jiongmin Yong, Chao Zhou
For a backward stochastic differential equation (BSDE, for short), when the generator is not progressively measurable, it might not admit adapted solutions, shown by an example. Ho…
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…
Linear-Quadratic Optimal Control for Backward Stochastic Differential Equations with Random Coefficients
Jingrui Sun, Hanxiao Wang
This paper is concerned with a linear-quadratic (LQ, for short) optimal control problem for backward stochastic differential equations (BSDEs, for short), where the coefficients of…
Time-Inconsistent Stochastic Optimal Control Problems and Backward Stochastic Volterra Integral Equations
Hanxiao Wang, Jiongmin Yong
An optimal control problem is considered for a stochastic differential equation with the cost functional determined by a backward stochastic Volterra integral equation (BSVIE, for…
Extended Backward Stochastic Volterra Integral Equations, Quasilinear Parabolic Equations, and Feynman-Kac Formula
Hanxiao Wang
In this paper, we establish the relationship between backward stochastic Volterra integral equations (BSVIEs, for short) and a kind of non-local quasilinear (and possibly degenerat…
Mean-Field Stochastic Linear-Quadratic Optimal Control Problems: Weak Closed-Loop Solvability
Jingrui Sun, Hanxiao Wang
This paper is concerned with mean-field stochastic linear-quadratic (MF-SLQ, for short) optimal control problems with deterministic coefficients. The notion of weak closed-loop opt…
Recursive Utility Processes, Dynamic Risk Measures and Quadratic Backward Stochastic Volterra Integral Equations
Hanxiao Wang, Jingrui Sun, Jiongmin Yong
For an $\cF_T$-measurable payoff of a European type contingent claim, the recursive utility process/dynamic risk measure can be described by the adapted solution to a backward stoc…
Weak Closed-Loop Solvability of Stochastic Linear-Quadratic Optimal Control Problems
Jingrui Sun, Hanxiao Wang, Jiongmin Yong
Recently it has been found that for a stochastic linear-quadratic optimal control problem (LQ problem, for short) in a finite horizon, open-loop solvability is strictly weaker than…