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A global stochastic maximum principle for forward-backward stochastic control systems with quadratic convex generator and unbounded terminal condition
Ying Hu, Feng Li, Jiaqiang Wen
In this paper, we study a stochastic optimal control problem for forward-backward stochastic control systems with quadratic convex generator and unbounded terminal condition, where…
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…
A local maximum principle for robust optimal control problems of quadratic BSDEs
Tao Hao, Jiaqiang Wen, Qi Zhang
The paper concerns the necessary maximum principle for robust optimal control problems of quadratic BSDEs. The coefficient of the systems depends on the parameter , and the gene…
Maximum Principle of Stochastic Optimal Control Problems with Model Uncertainty
Tao Hao, Jiaqiang Wen, Jie Xiong
This paper is concerned with the maximum principle of stochastic optimal control problems, where the coefficients of the state equation and the cost functional are uncertain, and t…