1 citations · 1 across the 6 of their papers we have counts for
4 papers · 2 filters
Open-loop and closed-loop solvabilities for zero-sum stochastic linear quadratic differential games of Markovian regime switching system
Fan Wu, Xun Li, Xin Zhang
This paper investigates zero-sum stochastic linear quadratic (SLQ) differential games with Markovian jumps. Open-loop and closed-loop solvabilities are studied by employing a new `…
Two person non-zero-sum linear-quadratic differential game with Markovian jumps in infinite horizon
Fan Wu, Xun Li, Xin Zhang
This paper investigates an inhomogeneous non-zero-sum linear-quadratic (LQ, for short) differential game problem whose state process and cost functional are regulated by a Markov c…
Infinite time horizon stochastic recursive control problems with jumps: dynamic programming and stochastic verification theorems
Sheng Luo, Xun Li, Qingmeng Wei
This paper is devoted to studying an infinite time horizon stochastic recursive control problem with jumps, where infinite time horizon stochastic differential equation and backwar…
Stochastic linear quadratic optimal control problems with regime-switching jumps in infinite horizon
Fan Wu, Xun Li, Xin Zhang
This paper investigates a stochastic linear-quadratic (SLQ, for short) control problem regulated by a time-invariant Markov chain in infinite horizon. Under the -stability fra…