1 citations · 1 across the 3 of their papers we have counts for
3 papers
math.OC2024★ 1 cited
Optimal control problems with generalized mean-field dynamics and viscosity solution to Master Bellman equation
Rainer Buckdahn, Juan Li, Zhanxin Li
We study an optimal control problem of generalized mean-field dynamics with open-loop controls, where the coefficients depend not only on the state processes and controls, but also…
math.OC2024
A Global Stochastic Maximum Principle for Mean-Field Forward-Backward Stochastic Control Systems with Quadratic Generators
Rainer Buckdahn, Juan Li, Yanwei Li +1
Our paper is devoted to the study of Peng's stochastic maximum principle (SMP) for a stochastic control problem composed of a controlled forward stochastic differential equation (S…
math.PR2022
BSDEs generated by fractional space-time noise and related SPDEs
Yaozhong Hu, Juan Li, Chao Mi
This paper is concerned with the backward stochastic differential equations whose generator is a weighted fractional Brownian field: $Y_t=ξ+\int_t^T Y_s W (ds,B_s) -\int_t^T Z_sdB_…