16 citations · 58 across the 27 of their papers we have counts for
27 papers
A maximum principle for progressive optimal control of mean-filed forward-backward stochastic system involving random jumps and impulse controls
Tian Chen, Kai Du, Zongyuan Huang +1
In this paper, we study an optimal control problem of a mean-field forward-backward stochastic system with random jumps in progressive structure, where both regular and singular co…
Sequential propagation of chaos
Kai Du, Yifan Jiang, Xiaochen Li
A new class of particle systems with sequential interaction is proposed to approximate the McKean-Vlasov process that originally arises as the limit of the mean-field interacting p…
Entropy solutions to the Dirichlet problem for nonlinear diffusion equations with conservative noise
Kai Du, Ruoyang Liu, Yuxing Wang
Motivated by porous medium equations with randomly perturbed velocity field, this paper considers a class of nonlinear degenerate diffusion equations with nonlinear conservative no…
Empirical approximation to invariant measures for McKean--Vlasov processes: mean-field interaction vs self-interaction
Kai Du, Yifan Jiang, Jinfeng Li
This paper proves that, under a monotonicity condition, the invariant probability measure of a McKean--Vlasov process can be approximated by weighted empirical measures of some pro…
A Q-learning algorithm for discrete-time linear-quadratic control with random parameters of unknown distribution: convergence and stabilization
Kai Du, Qingxin Meng, Fu Zhang
This paper studies an infinite horizon optimal control problem for discrete-time linear systems and quadratic criteria, both with random parameters which are independent and identi…
Krylov-Safonov estimates for a degenerate diffusion process
Fu Zhang, Kai Du
This paper proves a Krylov-Safonov estimate for a multidimensional diffusion process whose diffusion coefficients are degenerate on the boundary. As applications the existence and…