2 papers
math.OC2026
Indefinite Stochastic LQ Optimal Control for Jump-Diffusion Systems with Random Coefficients
Xinyu Ma, Qingxin Meng
This paper studies indefinite stochastic linear-quadratic (LQ) optimal control for jump-diffusion systems with random coefficients. We construct an algebraic inverse flow from the…
math.OC2025
Infinite Horizon Fully Coupled Nonlinear Forward-Backward Stochastic Difference Equations and Their Application to LQ Optimal Control Problems
Xinyu Ma, Xun Li, Qingxin Meng
This paper focuses on the study of infinite horizon fully coupled nonlinear forward-backward stochastic difference equations (FBSEs). Firstly, we establish a pair o…