3 papers
math.OC2026
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 control problem for jump-diffusion state processes observed through multivariate counting processes with state-dependent intensit…
math.OC2025
Near optimal controls for partially observed stochastic linear quadratic problems
Jingrui Sun, Jiaqiang Wen, Jie Xiong +1
In this article, we consider a stochastic linear quadratic control problem with partial observation. A near optimal control in the weak formulation is characterized. The main featu…
math.OC2024
Robust optimal stopping with regime switching
Siyu Lv, Zhen Wu, Jie Xiong +1
In this paper, we study an optimal stopping problem in the presence of model uncertainty and regime switching. The max-min formulation for robust control and the dynamic programmin…