2 papers
math.OC2026
Indefinite Stochastic Linear-Quadratic Optimal Control Problems with Random Coefficients and Poisson Jumps: Closed-Loop Representation of Open-Loop Optimal Controls
Kai Ding, Jiaqiang Wen, Jie Xiong +1
This paper is concerned with stochastic linear-quadratic (SLQ) optimal control problems with random coefficients and Poisson jumps. The weighting matrices are allowed to be random…
math.PR2026
Backward doubly stochastic differential equations with or without reflection under weak conditions
Shuxian Gao, Ying Hu, Jiaqiang Wen
In this paper, we study the solvability of backward doubly stochastic differential equations (BDSDEs, for short), both with and without reflection, under weak conditions on the gen…