3 papers
math.OC2025
Linear-Quadratic Zero-Sum Stochastic Differential Game with Partial Observation
Zhiyong Yu, Wanying Yue
This paper is concerned with a kind of linear-quadratic (LQ, for short) two-person zero-sum stochastic differential game problems with partial observation. We propose the notions o…
math.OC2025
Indefinite Linear-Quadratic Optimal Control Problems of Backward Stochastic Differential Equations with Partial Information
Jialong Li, Zhiyong Yu, Wanying Yue
This paper is concerned with a kind of linear-quadratic (LQ) optimal control problem of backward stochastic differential equation (BSDE) with partial information. The cost function…
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…