50 citations · 153 across the 53 of their papers we have counts for
18 papers · 1 filter
A Global Maximum Principle for Controlled Conditional Mean-field FBSDEs with Regime Switching
Tao Hao, Jiaqiang Wen, Jie Xiong
This paper is devoted to a global stochastic maximum principle for conditional mean-field forward-backward stochastic differential equations (FBSDEs, for short) with regime switchi…
Stochastic maximum principle for weighted mean-field system
Yanyan Tang, Jie Xiong
We study the optimal control problem for a weighted mean-field system. A new feature of the control problem is that the coefficients depend on the state process as well as its weig…
Linear quadratic leader-follower stochastic differential games for mean-field switching diffusions
Siyu Lv, Jie Xiong, Xin Zhang
In this paper, we consider a linear quadratic (LQ) leader-follower stochastic differential game for regime switching diffusions with mean-field interactions. One of the salient fea…
Stochastic filtering under model ambiguity
Jiaqi Zhang, Jie Xiong
In this paper, we study a non-linear filtering problem in the presence of signal model uncertainty. The model ambiguity is characterized by a class of probability measures from whi…
General Indefinite Backward Stochastic Linear-Quadratic Optimal Control Problems
Jingrui Sun, Jiaqiang Wen, Jie Xiong
A general backward stochastic linear-quadratic optimal control problem is studied, in which both the state equation and the cost functional contain the nonhomogeneous terms. The ma…
Stochastic Linear-Quadratic Optimal Control with Partial Observation
Jingrui Sun, Jie Xiong
The paper studies a class of quadratic optimal control problems for partially observable linear dynamical systems. In contrast to the full information case, the control is required…