6 citations · 12 across the 8 of their papers we have counts for
8 papers
Model-free Value Iteration Algorithm for Continuous-time Stochastic Linear Quadratic Optimal Control Problems
Guangchen Wang, Heng Zhang
This paper presents a novel value iteration (VI) algorithm for finding the optimal control for a kind of infinite-horizon stochastic linear quadratic (SLQ) problem with unknown sys…
Indefinite linear-quadratic optimal control of mean-field stochastic differential equation with jump diffusion: an equivalent cost functional method
Guangchen Wang, Wencan Wang
In this paper, we consider a linear-quadratic optimal control problem of mean-field stochastic differential equation with jump diffusion, which is also called as an MF-LQJ problem.…
Linear Quadratic Control of Backward Stochastic Differential Equation with Partial Information
Guangchen Wang, Wencan Wang, Zhiguo Yan
In this paper, we study an optimal control problem of linear backward stochastic differential equation (BSDE) with quadratic cost functional under partial information. This problem…
A Linear-Quadratic Stackelberg Differential Game with Mixed Deterministic and Stochastic Controls
Jingtao Shi, Guangchen Wang
This paper is concerned with a linear-quadratic (LQ) leader-follower differential game with mixed deterministic and stochastic controls. In the game, the follower is a random contr…
Stochastic Linear Quadratic Stackelberg Differential Game with Overlapping Information
Jingtao Shi, Guangchen Wang, Jie Xiong
This paper is concerned with the stochastic linear quadratic Stackelberg differential game with overlapping information, where the diffusion terms contain the control and state var…
Leader-Follower Stochastic Differential Game with Asymmetric Information and Applications
Jingtao Shi, Guangchen Wang, Jie Xiong
This paper is concerned with a leader-follower stochastic differential game with asymmetric information, where the information available to the follower is based on some sub--al…
An optimal control problem for mean-field forward-backward stochastic differential equation with noisy observation
Guangchen Wang, Hua Xiao, Guojing Xing
This article is concerned with an optimal control problem derived by mean-field forward-backward stochastic differential equation with noisy observation, where the drift coefficien…
A kind of linear quadratic non-zero sum differential game of backward stochastic differential equation with asymmetric information
Guangchen Wang, Hua Xiao, Jie Xiong
This paper focuses on a kind of linear quadratic non-zero sum differential game driven by backward stochastic differential equation with asymmetric information, which is a natural…