5 papers
A Partially Observed Stochastic Linear Stackelberg Differential Game with Poisson Jumps under Mean-Variance Criteria
Jingtao Lin, Jingtao Shi
In this paper, a partially observed stochastic linear Stackelberg differential game with mean-variance criteria is studied. Randomness comes from Brownian motions and Poisson rando…
Global Maximum Principle for Partially Observed Risk-Sensitive Progressive Optimal Control of FBSDE with Poisson Jumps
Jingtao Lin, Jingtao Shi
This paper is concerned with one kind of partially observed progressive optimal control problems of coupled forward-backward stochastic systems driven by both Brownian motion and P…
The Optimal Control Problem of Fully Coupled FBSDEs Driven by Sub-diffusion with Applications
Chenhui Hao, Jingtao Shi, Shuaiqi Zhang
This paper is devoted to an optimal control problem of fully coupled forward-backward stochastic differential equations driven by sub-diffusion, whose solutions are not Markov proc…
Mean Field Backward Stochastic Differential Equations with Double Mean Reflections
Hanwu Li, Jin Shi
In this paper, we analyze the mean field backward stochastic differential equations (MFBSDEs) with double mean reflections, whose generator and constraints both depend on the distr…
Stochastic maximum principle for optimal control problem with varying terminal time and non-convex control domain
Jin Shi, Shuzhen Yang
In this paper, we consider a varying terminal time structure for the stochastic optimal control problem under state constraints, in which the terminal time varies with the mean val…