7 papers
Mean-Field Backward Stochastic Differential Equations with Nonlinear Resistance and Double Mean Reflections
Hanwu Li, Jin Shi
In this paper, we investigate mean-field backward stochastic differential equation (MFBSDE) with double mean reflections and nonlinear resistance. Specifically, the constraints are…
A Partially Observed Stochastic Linear Stackelberg Differential Game with Poisson Jumps under Mean-Variance Criteria
Jingtao Lin, Jingtao Shi
In this paper, a partially observed stochastic linear Stackelberg differential game with mean-variance criteria is studied. Randomness comes from Brownian motions and Poisson rando…
Mean Field Backward Stochastic Differential Equations with Double Mean Reflections
Hanwu Li, Jin Shi
In this paper, we analyze the mean field backward stochastic differential equations (MFBSDEs) with double mean reflections, whose generator and constraints both depend on the distr…
Global Maximum Principle for Partially Observed Risk-Sensitive Progressive Optimal Control of FBSDE with Poisson Jumps
Jingtao Lin, Jingtao Shi
This paper is concerned with one kind of partially observed progressive optimal control problems of coupled forward-backward stochastic systems driven by both Brownian motion and P…
A General Maximum Principle for Progressive Optimal Control of Fully Coupled Forward-Backward Stochastic Systems with Jumps
Bin Wang, Yu Si, Jingtao Shi
This paper is concerned with a general maximum principle for the fully coupled forward-backward stochastic optimal control problem with jumps, where the control domain is not neces…
The Optimal Control Problem of Fully Coupled FBSDEs Driven by Sub-diffusion with Applications
Chenhui Hao, Jingtao Shi, Shuaiqi Zhang
This paper is devoted to an optimal control problem of fully coupled forward-backward stochastic differential equations driven by sub-diffusion, whose solutions are not Markov proc…