2 papers
math.OC2026
Constrained Zero-Sum Stochastic Linear-Quadratic Differential Game for Jump-Diffusion Systems with Random Coefficients
Yanyan Tang, Xun Li, Jie Xiong
This paper studies a two-player zero-sum stochastic linear-quadratic (SLQ) differential game for controlled jump-diffusion systems with random coefficients, where the controls of b…
math.NA2026
A Block-Shifted Cyclic Reduction Algorithm for Solving a Class of Quadratic Matrix Equations
Xu Li, Beatrice Meini
The cyclic reduction (CR) algorithm is an efficient method for solving quadratic matrix equations that arise in quasi-birth-death (QBD) stochastic processes. However, its convergen…