5 citations · 9 across the 5 of their papers we have counts for
4 papers · 1 filter
A stochastic maximum principle for partially observed stochastic control systems with delay
Shuaiqi Zhang, Xun Li, Jie Xiong
This paper deals with partially-observed optimal control problems for the state governed by stochastic differential equation with delay. We develop a stochastic maximum principle f…
Partial Information Differential Games for Mean-Field SDEs
Hua Xiao, Shuaiqi Zhang
This paper is concerned with non-zero sum differential games of mean-field stochastic differential equations with partial information and convex control domain. First, applying the…
A partially observed non-zero sum differential game of forward-backward stochastic differential equations and its application in finance
Jie Xiong, Shuaiqi Zhang, Yi Zhuang
In this article, we concern a kind of partially observed non-zero sum stochastic differential game based on forward and backward stochastic differential equations (FBSDEs). It is r…
Optimal Dividend Payments for the Piecewise-Deterministic Poisson Risk Model
Runhuan Feng, Hans Volkmer, Shuaiqi Zhang +1
This paper considers the optimal dividend payment problem in piecewise-deterministic compound Poisson risk models. The objective is to maximize the expected discounted dividend pay…