2 papers
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…
math.OC2024
Fully Coupled Nonlinear FBSEs: Solvability and LQ Control Insights
Zhipeng Niu, Qingxin Meng, Xun Li +1
This paper explores a class of fully coupled nonlinear forward-backward stochastic difference equations (FBSEs). Building on insights from linear quadratic optimal control probl…