5 papers
Indefinite Linear-Quadratic Partially Observed Mean-Field Game
Tian Chen, Tianyang Nie, Zhen Wu
This paper investigates an indefinite linear-quadratic partially observed mean-field game with common noise, incorporating both state-average and control-average effects. In our mo…
Problem of eigenvalues of stochastic Hamiltonian systems with boundary conditions and Markov chain
Tian Chen, Xijun Hu, Zhen Wu
In this paper, we study the eigenvalue problem of stochastic Hamiltonian system driven by Brownian motion and Markov chain with boundary conditions and time-dependent coefficients.…
Viscosity solutions for mean field optimal switching with a two-time-scale Markov chain
Tian Chen, Guanxu Li, Zhen Wu
In this paper, we consider the mean field optimal switching problem with a Markov chain under viscosity solution notion. Based on the conditional distribution of the Markov chain,…
A maximum principle for progressive optimal control of mean-filed forward-backward stochastic system involving random jumps and impulse controls
Tian Chen, Kai Du, Zongyuan Huang +1
In this paper, we study an optimal control problem of a mean-field forward-backward stochastic system with random jumps in progressive structure, where both regular and singular co…
Continuous-time mean-variance portfolio selection under non-Markovian regime-switching model with random horizon
Tian Chen, Ruyi Liu, Zhen Wu
In this paper, we consider a continuous-time mean-variance portfolio selection with regime-switching and random horizon. Unlike previous works, the dynamic of assets are described…