2 papers
math.OC2025
Infinite Horizon Linear Quadratic Mean Field Problems with Common Noise and Regime Switching via Conditional McKean-Vlasov FBSDEs
Qingmeng Wei, Yaqi Xu
This paper studies infinite horizon linear quadratic (LQ) mean field problems with common noise and regime switching, covering both control and game formulations. To establish a th…
math.OC2023
Infinite Horizon Mean-Field Linear Quadratic Optimal Control Problems with Jumps and the related Hamiltonian Systems
Qingmeng Wei, Yaqi Xu, Zhiyong Yu
In this work, we focus on an infinite horizon mean-field linear-quadratic stochastic control problem with jumps. Firstly, the infinite horizon linear mean-field stochastic differen…