11 citations · 29 across the 16 of their papers we have counts for
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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…