6 citations · 13 across the 10 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…
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…
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…