5 papers · 1 filter
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…
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…
A General Maximum Principle for Progressive Optimal Control of Fully Coupled Forward-Backward Stochastic Systems with Jumps
Bin Wang, Yu Si, Jingtao Shi
This paper is concerned with a general maximum principle for the fully coupled forward-backward stochastic optimal control problem with jumps, where the control domain is not neces…