3 papers
math.OC2026
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…
math.OC2026
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…
math.OC2024
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…