4 papers
Control for Stochastic Differential Systems with Partial Observation
Changwang Xiao, Nan Yang, Qingxin Meng
This paper investigates the control problem for linear stochastic differential systems under partial observation. Unlike existing studies that assume full state…
Viscosity Solutions of Hamilton--Jacobi--Bellman Equations for Control Systems Driven by Teugels Martingales
Yongpeng Lin, Qingxin Meng, Maoning Tang
This paper studies discrete-time two-person nonzero-sum linear quadratic stochastic games with random coefficients. Using convex variational analysis, we derive necessary and suffi…
Infinite Horizon Fully Coupled Nonlinear Forward-Backward Stochastic Difference Equations and Their Application to LQ Optimal Control Problems
Xinyu Ma, Xun Li, Qingxin Meng
This paper focuses on the study of infinite horizon fully coupled nonlinear forward-backward stochastic difference equations (FBSEs). Firstly, we establish a pair o…
Discrete-Time LQ Stochastic Two-Person Nonzero-Sum Difference Games with Random Coefficients:~Open-Loop Nash Equilibrium
Yiwei Wu, Xun Li, Qingxin Meng
This paper presents a pioneering investigation into discrete-time two-person non-zero-sum linear quadratic (LQ) stochastic games with random coefficients. We derive necessary and s…