11 citations · 14 across the 7 of their papers we have counts for
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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…
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…