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math.OC2022★ 1 cited
Non-homogeneous stochastic LQ control with regime switching and random coefficients
Ying Hu, Xiaomin Shi, Zuo Quan Xu
This paper is concerned with a general non-homogeneous stochastic linear quadratic (LQ) control problem with regime switching and random coefficients. We obtain the explicit optima…
math.OC2022
Optimal control of SDEs with expected path constraints and related constrained FBSDEs
Ying Hu, Shanjian Tang, Zuo Quan Xu
In this paper, we consider optimal control of stochastic differential equations subject to an expected path constraint. The stochastic maximum principle is given for a general opti…