3 papers
math.OC2026
A Stochastic Maximum Principle for Partially Observed Jump-Diffusion Systems with State-Dependent Counting-Process Observations
Jie Xiong, Ying Yang
This paper studies a partially observed stochastic control problem for jump-diffusion state processes observed through multivariate counting processes with state-dependent intensit…
math.OC2026
Equilibrium Strategies for the N-agent Mean-Variance Investment Problem over a Random Horizon
Xiaoqing Liang, Jie Xiong, Ying Yang
We study equilibrium feedback strategies for a family of dynamic mean-variance problems with competition among a large group of agents. We assume that the time horizon is random an…
math.OC2025
Linear-quadratic control for mean-field backward stochastic differential equations with random coefficients
Jie Xiong, Wen Xu, Ying Yang
In this paper, we study the linear-quadratic control problem for mean-field backward stochastic differential equations (MF-BSDE) with random coefficients. We first derive a prelimi…