9 papers
Stochastic Optimal Linear Quadratic Controls with A Recursive Cost Functional in Infinite Horizon
Lin Li, Jiongmin Yong
This paper is concerned with a stochastic linear quadratic (LQ, for short) control problem with a recursive cost functional in an infinite horizon. A main difficult is well-posedne…
Stochastic Optimal Linear Quadratic Controls with A Recursive Cost Functional
Lin Li, Jiongmin Yong
This paper is concerned with a stochastic linear quadratic (LQ, for short) control problem with a recursive cost functional. It involves BSDEs in whose well-posedness is a su…
Stochastic Optimal Impulse Controls with Changing Running Costs
Yuchen Cao, Jiongmin Yong
This paper is concerned with stochastic impulse control problems in which the running cost changes depending on the impulse control. Because of such a dependence, it brings several…
A Time-Inconsistent Stochastic Optimal Control Problem in an Infinite Time Horizon
Qingmeng Wei, Jiongmin Yong
This paper is concerned with a time-inconsistent stochastic optimal control problem in an infinite time horizon with a non-degenerate diffusion in the state equation. A major assum…
Turnpike Property of a Linear-Quadratic Optimal Control Problem in Large Horizons with Regime Switching II: Non-Homogeneous Cases
Hongwei Mei, Rui Wang, Jiongmin Yong
This paper is concerned with an optimal control problem for a nonhomogeneous linear stochastic differential equation having regime switching with a quadratic functional in the larg…
Turnpike Property of Stochastic Linear-Quadratic Optimal Control Problems in Large Horizons with Regime Switching I: Homogeneous Cases
Hongwei Mei, Rui Wang, Jiongmin Yong
This paper is concerned with optimal control problems for a linear homogeneous stochastic differential equation having regime switching with purely quadratic functional in the larg…
Infinite Horizon Mean-Field Linear-Quadratic Optimal Control Problems with Switching and Indefinite-Weighted Costs
Hongwei Mei, Rui Wang, Qingmeng Wei +1
This paper is concerned with an infinite horizon stochastic linear quadratic (LQ, for short) optimal control problems with conditional mean-field terms in a switching environment.…
Linear-Quadratic Optimal Control for Mean-Field Stochastic Differential Equations in Infinite-Horizon with Regime Switching
Hongwei Mei, Qingmeng Wei, Jiongmin Yong
This paper is concerned with stochastic linear quadratic (LQ, for short) optimal control problems in an infinite horizon with conditional mean-field term in a switching regime envi…
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…