1 citations · 1 across the 3 of their papers we have counts for
3 papers
math.OC2024
A robust stochastic control problem with applications to monotone mean-variance problems
Yuyang Chen, Tianjiao Hua, Peng Luo
This paper studies a robust stochastic control problem with a monotone mean-variance cost functional and random coefficients. The main technique is to find the saddle point through…
math.OC2024
Non-homogeneous stochastic linear-quadratic optimal control problems with multi-dimensional state and regime switching
Yuyang Chen, Peng Luo
In this paper, we study non-homogeneous stochastic linear-quadratic (LQ) optimal control problems with multi-dimensional state and regime switching. We focus on the corresponding s…
math.OC2023★ 1 cited
Turnpike properties for stochastic backward linear-quadratic optimal problems
Yuyang Chen, Peng Luo
This paper deals with the long time behavior of the optimal solution of stochastic backward linear-quadratic optimal control problem over the finite time horizon. Both weak and str…