2 citations · 6 across the 5 of their papers we have counts for
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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…
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…