4 papers · 1 filter
Partially Observed McKean--Vlasov Control with Vanishing Observation Intensities
Jie Xiong, Ying Yang
We study partially observed McKean--Vlasov jump-diffusions with controlled counting intensities that may vanish and depend on the unconditional physical state distribution. A deter…
A Stochastic Maximum Principle for Partially Observed Jump-Diffusion Systems with State-Dependent Counting-Process Observations
Jie Xiong, Ying Yang
This paper studies a partially observed stochastic optimal control problem for jump-diffusion states observed through multivariate counting processes with state-dependent intensiti…
Equilibrium Strategies for the N-agent Mean-Variance Investment Problem over a Random Horizon
Xiaoqing Liang, Jie Xiong, Ying Yang
We study equilibrium feedback strategies for a family of dynamic mean-variance problems with competition among a large group of agents. We assume that the time horizon is random an…
Linear-quadratic control for mean-field backward stochastic differential equations with random coefficients
Jie Xiong, Wen Xu, Ying Yang
In this paper, we study the linear-quadratic control problem for mean-field backward stochastic differential equations (MF-BSDE) with random coefficients. We first derive a prelimi…