3 papers
math.OC2024
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…
math.OC2024
Social Optima of Linear Forward-Backward Stochastic System
Guangchen Wang, Shujun Wang, Jie Xiong
A linear quadratic (LQ) stochastic optimization system involving large population, which is driven by forward-backward stochastic differential equation (FBSDE), is investigated in…
math.OC2024
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…