23 citations · 127 across the 56 of their papers we have counts for
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Maximum principle for stochastic optimal control problem of forward-backward stochastic difference systems
Shaolin Ji, Haodong Liu
In this paper, we study the maximum principle for stochastic optimal control problems of forward-backward stochastic difference systems (FBSΔSs). Two types of FBSΔSs are investigat…
A note on the global stochastic maximum principle for fully coupled forward-backward stochastic systems
Mingshang Hu, Shaolin Ji, Xiaole Xue
Hu et. al 2018 studied a stochastic optimal control problem for fully coupled forward-backward stochastic control systems with a nonempty control domain. By assuming a weakly coupl…
The existence and uniqueness of viscosity solution to a kind of Hamilton-Jacobi-Bellman equations
Mingshang Hu, Shaolin Ji, Xiaole Xue
In this paper, we study the existence and uniqueness of viscosity solutions to a kind of Hamilton-Jacobi-Bellman (HJB) equations combined with algebra equations. This HJB equation…
Stochastic maximum principle, dynamic programming principle, and their relationship for fully coupled forward-backward stochastic control systems
Mingshang Hu, Shaolin Ji, Xiaole Xue
Within the framework of viscosity solution, we study the relationship between the maximum principle (MP) in [9] and the dynamic programming principle (DPP) in [10] for a fully coup…
A global stochastic maximum principle for fully coupled forward-backward stochastic systems
Mingshang Hu, Shaolin Ji, Xiaole Xue
We study a stochastic optimal control problem for fully coupled forward-backward stochastic control systems with a nonempty control domain. For our problem, the first-order and sec…