3 papers
math.OC2026
Quantitative comparison of closed- and open-loop linear-quadratic -player differential games
Asaf Cohen, Jiamin Jian
We compare closed-loop and open-loop Nash equilibria in a finite-horizon stochastic linear-quadratic -player game with decoupled state dynamics and interaction through the state…
math.NA2025
On modified Euler methods for McKean-Vlasov stochastic differential equations with super-linear coefficients
Jiamin Jian, Qingshuo Song, Xiaojie Wang +2
We introduce a new class of numerical methods for solving McKean-Vlasov stochastic differential equations, which are relevant in the context of distribution-dependent or mean-field…
math.OC2024
Long-Time Behaviors of Stochastic Linear-Quadratic Optimal Control Problems
Jiamin Jian, Sixian Jin, Qingshuo Song +1
This paper investigates the asymptotic behavior of the solution to a linear-quadratic stochastic optimal control problems. The so-called probability cell problem is introduced the…