50 citations · 153 across the 53 of their papers we have counts for
11 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…
Solvability of a class of mean-field BSDEs with quadratic growth
Tao Hao, Jiaqiang Wen, Jie Xiong
In this paper, we study the multi-dimensional mean-field backward stochastic differential equations (BSDEs, for short) with quadratic growth. Under small terminal value, the existe…
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…
Forward-backward doubly stochastic systems and classical solutions of path-dependent stochastic PDEs
Yufeng Shi, Jiaqiang Wen, Jie Xiong
In this paper, a class of non-Markovian forward-backward doubly stochastic systems is studied. By using the technique of functional Itô (or path-dependent) calculus, the relationsh…
Backward doubly stochastic differential equations and SPDEs with quadratic growth
Ying Hu, Jiaqiang Wen, Jie Xiong
In this paper, we initiate the study of backward doubly stochastic differential equations (BDSDEs, for short) with quadratic growth. The existence, comparison, and stability result…