4 papers
Weak Closed-loop Solvability of Linear Quadratic Stochastic Optimal Control Problems with Partial Information
Xun Li, Guangchen Wang, Jie Xiong +1
This paper investigates a linear quadratic stochastic optimal control (LQSOC) problem with partial information. Firstly, by introducing two Riccati equations and a backward stochas…
Zero-sum stochastic linear-quadratic Stackelberg differential games of Markovian regime-switching system
Fan Wu, Xun Li, Jie Xiong +1
This paper investigates a zero-sum stochastic linear-quadratic (SLQ, for short) Stackelberg differential game problem, where the coefficients of the state equation and the weightin…
Stochastic linear-quadratic differential game with Markovian jumps in an infinite horizon
Fan Wu, Xun Li, Jie Xiong +1
This paper investigates a two-person non-homogeneous linear-quadratic stochastic differential game (LQ-SDG, for short) in an infinite horizon for a system regulated by a time-invar…
Two system transformation data-driven algorithms for linear quadratic mean-field games
Xun Li, Guangchen Wang, Yu Wang +2
This paper studies a class of continuous-time linear quadratic (LQ) mean-field game problems. We develop two system transformation data-driven algorithms to approximate the decentr…