3 papers
math.OC2025
\(H_2/H_\infty\) Control for Continuous-Time Mean-Field Stochastic Systems with Affine Terms
Xuling Fang, Jun Moon, Maoning Tang +1
This paper discusses the \( H_2/H_{\infty} \) control problem for continuous-time mean-field linear stochastic systems with affine terms over a finite horizon. We employ the Mean-F…
math.OC2025
Discrete-Time LQ Stochastic Two Person Nonzero Sum Difference Games With Random Coefficients:~Closed-Loop Nash Equilibrium
Qingxin Meng, Yiwei Wu
This paper investigates closed-loop Nash equilibria for discrete-time linear-quadratic (LQ) stochastic nonzero-sum difference games with random coefficients. Unlike existing works,…
math.OC2025
Fully Coupled Nonlinear FBSEs: Maximum principle and LQ Control Insights
Zhipeng Niu, Jun Moon, Qingxin Meng
This paper investigates the optimal control problem for a class of nonlinear fully coupled forward-backward stochastic difference equations (FBSEs). Under the convexity assumpti…