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math.OC2026
State-Dependent Delays in Optimal Control and Hamilton--Jacobi Equations
Yiming Jiang, Cristian Mendico, Yawei Wei +2
We develop a Hamilton--Jacobi theory for finite-horizon optimal control problems governed by state-dependent delay equations. In this setting, the delayed-time map depends on the c…
math.OC2026
Mean field and N-agent games for optimal relative consumption-investment with jump risk and common noise
Yiming Jiang, Fuxing Li, Yawei Wei +1
This paper studies an optimal consumption--investment problem for competitive agents in an \(N\)-player game and its associated mean field game. Each agent invests in an individual…
math.OC2024
Stackelberg games with the third party
Yiming Jiang, Yawei Wei, Jie Xue
In this paper, we introduce the third party to achieve the Stackelberg equilibrium with the time inconsistency in three different Stackelberg games, which are the discrete-time gam…