23 citations · 127 across the 56 of their papers we have counts for
4 papers · 2 filters
A Stochastic Maximum Principle for Forward-backward Stochastic Control Systems with Quadratic Generators and Sample-wise Constraints
Shaolin Ji, Rundong Xu
This paper examines the stochastic maximum principle (SMP) for a forward-backward stochastic control system where the backward state equation is characterized by the backward stoch…
A Global Stochastic Maximum Principle for Forward-Backward Stochastic Control Systems with Quadratic Generators
Mingshang Hu, Shaolin Ji, Rundong Xu
We study a stochastic optimal control problem for forward-backward control systems with quadratic generators. In order to establish the first and second-order variational and adjoi…
Solving stochastic optimal control problem via stochastic maximum principle with deep learning method
Shaolin Ji, Shige Peng, Ying Peng +1
In this paper, we aim to solve the high dimensional stochastic optimal control problem from the view of the stochastic maximum principle via deep learning. By introducing the exten…
Kalman-Bucy filtering and minimum mean square estimator under uncertainty
Shaolin Ji, Chuiliu Kong, Chuanfeng Sun +1
In this paper, we study a generalized Kalman-Bucy filtering problem under uncertainty. The drift uncertainty for both signal process and observation process is considered and the a…