10 papers
Recursive Stochastic Linear-Quadratic Control with Indefinite Weights for Jump-Diffusion Systems with Random Coefficients
Xinyu Ma, Yang Liu, Qingxin Meng
We study finite-horizon stochastic linear-quadratic (LQ) control for finite-activity jump diffusions with bounded random coefficients, indefinite weights and a linear recursive cos…
Fully Coupled Nonlinear Mean-Field FBSΔEs: Solvability and an LQ Buffer-Adjustment Illustration
Yingjie Zheng, Qingxin Meng, Maoning Tang
This paper establishes sufficient conditions for finite-horizon solvability of fully coupled nonlinear mean-field forward--backward stochastic difference equations with dependence…
A Riccati Approach to Mixed Closed-Loop Games for Infinite-Dimensional Stochastic Systems
Mingyang Shen, Weihai Zhang, Qingxin Meng +1
This paper studies a finite-horizon mixed feedback Nash game for stochastic evolution equations on a separable Hilbert space. The drift generator is unbounded, the r…
Indefinite Stochastic LQ Optimal Control for Jump-Diffusion Systems with Random Coefficients
Xinyu Ma, Qingxin Meng
This paper studies indefinite stochastic linear-quadratic (LQ) optimal control for jump-diffusion systems with random coefficients. We construct an algebraic inverse flow from the…
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…
SPDEBench: An Extensive Benchmark for Learning Stochastic PDEs
Yuantu Zhu, Zheyan Li, Dai Shi +8
Stochastic Partial Differential Equations (SPDEs) driven by random noise play a central role in modeling physical processes with rough spatio-temporal dynamics, such as turbulence…
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…
A Class of Forward-Backward Stochastic Differential Equations Driven by Lévy Processes and Application to LQ Problems
Maozhong Xu, Maoning Tang, Qingxin Meng
In this paper, our primary focus lies in the thorough investigation of a specific category of nonlinear fully coupled forward-backward stochastic differential equations involving t…