4 papers
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…
Stochastic maximum principle for weighted mean-field system with jump
Yanyan Tang, Jie Xiong
In this article, we consider a weighted mean-field control problem with jump-diffusion as its state process. The main difficulty is from the non-Lipschitz property of the coefficie…
General mean-field stochastic linear quadratic control problem driven by Lévy processes with random coefficients
Yanyan Tang, Jie Xiong
This paper studies a stochastic mean-field linear-quadratic optimal control problem with random coefficients. The state equation is a general linear stochastic differential equatio…
Linear-quadratic control for mean-field backward stochastic differential equations with random coefficients
Jie Xiong, Wen Xu, Ying Yang
In this paper, we study the linear-quadratic control problem for mean-field backward stochastic differential equations (MF-BSDE) with random coefficients. We first derive a prelimi…