50 citations · 153 across the 53 of their papers we have counts for
6 papers · 1 filter
On the extinction-extinguishing dichotomy for a stochastic Lotka-Volterra type population dynamical system
Yan-Xia Ren, Jie Xiong, Xu Yang +1
We study a two-dimensional process arising as the unique nonnegative solution to a pair of stochastic differential equations driven by independent Brownian motions and com…
Backward doubly stochastic Volterra integral equations and applications to optimal control problems
Yufeng Shi, Jiaqiang Wen, Jie Xiong
Backward doubly stochastic Volterra integral equations (BDSVIEs, for short) are introduced and studied systematically. Well-posedness of BDSVIEs in the sense of introduced M-soluti…
Optimal Control for Controllable Stochastic Linear Systems
Xiuchun Bi, Jingrui Sun, Jie Xiong
This paper is concerned with a constrained stochastic linear-quadratic optimal control problem, in which the terminal state is fixed and the initial state is constrained to lie in…
Weak Closed-Loop Solvability of Stochastic Linear Quadratic Optimal Control Problems of Markovian Regime Switching System
Jiaqiang Wen, Xun Li, Jie Xiong
In this paper, we investigate the open-loop and weak closed-loop solvabilities of stochastic linear quadratic (LQ, for short) optimal control problem of Markovian regime switching…
Semilinear stochastic partial differential equations: central limit theorem and moderate deviations
Rangrang Zhang, Jie Xiong
In this paper, we establish a central limit theorem (CLT) and the moderate deviation principles (MDP) for a class of semilinear stochastic partial differential equations driven by…
Mean-variance portfolio selection under partial information with drift uncertainty
Jie Xiong, Zuo quan Xu, Jiayu Zheng
In this paper, we study the mean-variance portfolio selection problem under partial information with drift uncertainty. First we show that the market model is complete even in this…