2 papers
math.OC2024
Recursive Optimal Stopping with Poisson Stopping Constraints
Gechun Liang, Wei Wei, Zhen Wu +1
This paper solves a recursive optimal stopping problem with Poisson stopping constraints using the penalized backward stochastic differential equation (PBSDE) with jumps. Stopping…
math.OC2022
A Unified Relation Analysis of Linear-quadratic Mean-field Game, Team and Control
Huang Jianhui, Qiu Zhenghong, Wang Shujun +1
This paper revisits well-studied dynamic decisions of weakly coupled large-population (LP) systems. Specifically, three types of LP decision problems: mean-field game (MG), mean-fi…