3 papers
math.OC2024
Social Optima of Linear Forward-Backward Stochastic System
Guangchen Wang, Shujun Wang, Jie Xiong
A linear quadratic (LQ) stochastic optimization system involving large population, which is driven by forward-backward stochastic differential equation (FBSDE), is investigated in…
math.OC2024
Recursive stochastic differential games with non-Lipschitzian generators and viscosity solutions of Hamilton-Jacobi-Bellman-Isaacs equation
Guangchen Wang, Zhuangzhuang Xing
This investigation is dedicated to a two-player zero-sum stochastic differential game (SDG), where a cost function is characterized by a backward stochastic differential equation (…
math.OC2024
Two system transformation data-driven algorithms for linear quadratic mean-field games
Xun Li, Guangchen Wang, Yu Wang +2
This paper studies a class of continuous-time linear quadratic (LQ) mean-field game problems. We develop two system transformation data-driven algorithms to approximate the decentr…