6 citations · 13 across the 10 of their papers we have counts for
10 papers
Linear-Quadratic Optimal Control Problem for Mean-Field Stochastic Differential Equations with a Type of Random Coefficients
Hongwei Mei, Qingmeng Wei, Jiongmin Yong
Motivated by linear-quadratic optimal control problems (LQ problems, for short) for mean-field stochastic differential equations (SDEs, for short) with the coefficients containing…
Turnpike Properties for Mean-Field Linear-Quadratic Optimal Control Problems
Jingrui Sun, Jiongmin Yong
This paper is concerned with an optimal control problem for a mean-field linear stochastic differential equation with a quadratic functional in the infinite time horizon. Under sui…
Optimal Controls for Forward-Backward Stochastic Differential Equations: Time-Inconsistency and Time-Consistent Solutions
Hanxiao Wang, Jiongmin Yong, Chao Zhou
This paper is concerned with an optimal control problem for a forward-backward stochastic differential equation (FBSDE, for short) with a recursive cost functional determined by a…
A Stochastic Maximum Principle Approach for Reinforcement Learning with Parameterized Environment
Richard Archibald, Feng Bao, Jiongmin Yong
In this work, we introduce a stochastic maximum principle (SMP) approach for solving the reinforcement learning problem with the assumption that the unknowns in the environment can…
Backward Stochastic Differential Equations and Backward Stochastic Volterra Integral Equations with Anticipating Generators
Hanxiao Wang, Jiongmin Yong, Chao Zhou
For a backward stochastic differential equation (BSDE, for short), when the generator is not progressively measurable, it might not admit adapted solutions, shown by an example. Ho…
Spike Variations for Stochastic Volterra Integral Equations
Tianxiao Wang, Jiongmin Yong
Spike variation technique plays a crucial role in deriving Pontryagin's type maximum principle of optimal controls for differential equations of several types, including ordinary d…
Linear-Quadratic Optimal Controls for Stochastic Volterra Integral Equations: Causal State Feedback and Path-Dependent Riccati Equations
Hanxiao Wang, Jiongmin Yong, Chao Zhou
A linear-quadratic optimal control problem for a forward stochastic Volterra integral equation (FSVIE, for short) is considered. Under the usual convexity conditions, open-loop opt…
Turnpike Properties for Stochastic Linear-Quadratic Optimal Control Problems
Jingrui Sun, Hanxiao Wang, Jiongmin Yong
This paper analyzes the limiting behavior of stochastic linear-quadratic optimal control problems in finite time horizon as . The so-called turnpike pro…
Causal State Feedback Representation for Linear Quadratic Optimal Control Problems of Singular Volterra Integral Equations
Shuo Han, Ping Lin, Jiongmin Yong
This paper is concerned with a linear quadratic optimal control for a class of singular Volterra integral equations. Under proper convexity conditions, optimal control uniquely exi…
Regularity Analysis for an Abstract System of Coupled Hyperbolic and Parabolic Equations
Jianghao Hao, Zhuangyi Liu, Jiongmin Yong
In this paper, we provide a complete regularity analysis for an abstract system of coupled hyperbolic and parabolic equations in a complex Hilbert space. We are able to decompose t…