5 papers
Stackelberg Stochastic Linear-Quadratic Differential Games: A Closed-Loop Equilibrium Approach
Qi Lü, Bowen Ma, Hanxiao Wang
This paper addresses a Stackelberg stochastic linear-quadratic (LQ) differential game under closed-loop information, a problem inherently time-inconsistent. Existing approaches rel…
Mean-Square Stability of Continuous-Time Stochastic Model Predictive Control
Qi Lü, Bowen Ma, Enrique Zuazua
We propose a stochastic model predictive control (SMPC) framework for a broad class of unconstrained controlled stochastic differential equations (SDEs) and establish its mean-squa…
Forward-Backward Stochastic Linear-Quadratic Optimal Controls: Equilibrium Strategies and Non-Symmetric Riccati Equations
Qi Lü, Bowen Ma, Hanxiao Wang
Linear-quadratic optimal control problem for systems governed by forward-backward stochastic differential equations has been extensively studied over the past three decades. Recent…
Solvability of Equilibrium Riccati Equations: A Direct Approach
Bowen Ma, Hanxiao Wang
The solvability of equilibrium Riccati equations (EREs) plays a central role in the study of time-inconsistent stochastic linear-quadratic optimal control problems, because it pave…
Time-inconsistent Linear Quadratic Optimal Control Problem for Forward-Backward Stochastic Differential Equations
Qi Lü, Bowen Ma
We study the time-inconsistent linear quadratic optimal control problem for forward-backward stochastic differential equations with potentially indefinite cost weighting matrices f…