4 papers
Mean-field backward stochastic Volterra integral equations: well-posedness and related particle system
Tao Hao, Ying Hu, Jiaqiang Wen
This paper studies the mean-field backward stochastic Volterra integral equations (mean-field BSVIEs) and associated particle systems. We establish the existence and uniqueness of…
Quadratic Mean-Field BSDEs and Exponential Utility Maximization
Yining Ding, Kihun Nam, Jiaqiang Wen
In this paper, we study a class of real-valued mean-field backward stochastic differential equations (BSDEs) with generators of quadratic growth in the control variable and the mea…
Near optimal controls for partially observed stochastic linear quadratic problems
Jingrui Sun, Jiaqiang Wen, Jie Xiong +1
In this article, we consider a stochastic linear quadratic control problem with partial observation. A near optimal control in the weak formulation is characterized. The main featu…
Multi-dimensional anticipated backward stochastic differential equations with quadratic growth
Ying Hu, Feng Li, Jiaqiang Wen
This paper is devoted to the general solvability of anticipated backward stochastic differential equations with quadratic growth by relaxing the assumptions made by Hu, Li, and Wen…