4 papers
Optimal Transport for Continuous-Time Mean-Variance Portfolio Selection
Yijie Zeng, Liangquan Zhang, Xun Li
The continuous-time mean-variance portfolio selection problem is investigated in this paper through a rigorous integration of backward stochastic differential equation (BSDE) and K…
Closed-loop -Potential Stochastic Differential Games via a BSDE Approach
Xun Li, Liangquan Zhang
In this paper, we study the closed-loop -potential stochastic differential game (SDG) problem as a continuation of our prior research on open-loop control (see \cite{GLZ2025}).…
BSDE Approach for -Potential Stochastic Differential Games
Xin Guo, Xun Li, Liangquan Zhang
In this paper, we examine a class of -potential stochastic differential games with random coefficients via the backward stochastic differential equations (BSDEs) approach. Speci…
Dynamic Programming for Indefinite Stochastic McKean-Vlasov LQ Control Problem under Input Constraints
Xun Li, Liangquan Zhang
In this note, we study a class of indefinite stochastic McKean-Vlasov linear-quadratic (LQ in short) control problem under the control taking nonnegative values. In contrast to the…