6 papers
The Backward Stochastic Partial Differential Integral Equations: Solvability and Comparison Principle
Qingxin Meng, Qi Zhang
The paper is concerned with the well-posedness of backward stochastic partial differential equations with jumps, also called backward stochastic partial differential integral equat…
Viscosity Solutions of Stochastic Hamilton--Jacobi--Bellman Equations with Jumps
Dunxiang Liang, Qingxin Meng
This paper studies the stochastic optimal control of jump-diffusion processes and the associated fully nonlinear backward stochastic Hamilton--Jacobi--Bellman (BSHJB) equations. We…
Fully Coupled Nonlinear FBSEs: Maximum principle and LQ Control Insights
Zhipeng Niu, Jun Moon, Qingxin Meng
This paper investigates the optimal control problem for a class of nonlinear fully coupled forward-backward stochastic difference equations (FBSEs). Under the convexity assumpt…
Fully Coupled Nonlinear FBSEs: Solvability and LQ Control Insights
Zhipeng Niu, Qingxin Meng, Xun Li +1
This paper explores a class of fully coupled nonlinear forward-backward stochastic difference equations (FBSEs). Building on insights from linear quadratic optimal control prob…
\(H_2/H_\infty\) Control for Continuous-Time Mean-Field Stochastic Systems with Affine Terms
Xuling Fang, Jun Moon, Maoning Tang +1
This paper discusses the \( H_2/H_{\infty} \) control problem for continuous-time mean-field linear stochastic systems with affine terms over a finite horizon. We employ the Mean-F…
Discrete-Time LQ Stochastic Two Person Nonzero Sum Difference Games With Random Coefficients:~Closed-Loop Nash Equilibrium
Qingxin Meng, Yiwei Wu
This paper investigates closed-loop Nash equilibria for discrete-time linear-quadratic (LQ) stochastic nonzero-sum difference games with random coefficients. Unlike existing works,…