4 papers
Discrete-Time Backward Stochastic LQ Control Problem
Hu Ligui, Meng Qingxin, Tang Maoning
This paper focuses on the discrete-time backward stochastic linear quadratic (BSLQ) optimal control problem with nonhomogeneous system terms and cost function cross terms. The term…
Viscosity Solutions of Hamilton--Jacobi--Bellman Equations for Control Systems Driven by Teugels Martingales
Yongpeng Lin, Qingxin Meng, Maoning Tang
This paper studies discrete-time two-person nonzero-sum linear quadratic stochastic games with random coefficients. Using convex variational analysis, we derive necessary and suffi…
Fully Coupled Nonlinear FBSEs: Solvability and LQ Control Insights
Zhipeng Niu, Qingxin Meng, Xun Li +1
This paper explores a class of fully coupled nonlinear forward-backward stochastic difference equations (FBSEs). Building on insights from linear quadratic optimal control prob…
\(H_2/H_\infty\) Control for Continuous-Time Mean-Field Stochastic Systems with Affine Terms
Xuling Fang, Jun Moon, Maoning Tang +1
This paper discusses the \( H_2/H_{\infty} \) control problem for continuous-time mean-field linear stochastic systems with affine terms over a finite horizon. We employ the Mean-F…