73 citations · 98 across the 9 of their papers we have counts for
7 papers
Stochastic Linear Quadratic Optimal Control Problems in Infinite Horizon
Jingrui Sun, Jiongmin Yong
This paper is concerned with stochastic linear quadratic (LQ, for short) optimal control problems in an infinite horizon with constant coefficients. It is proved that the non-empti…
Linear Quadratic Stochastic Two-Person Nonzero-Sum Differential Games: Open-Loop and Closed-Loop Nash Equilibria
Jingrui Sun, Jiongmin Yong
In this paper, we consider a linear quadratic stochastic two-person nonzero-sum differential game. Open-loop and closed-loop Nash equilibria are introduced. The existence of the fo…
Optimal Control Problems of Forward-Backward Stochastic Volterra Integral Equations
Yufeng Shi, Tianxiao Wang, Jiongmin Yong
Optimal control problems of forward-backward stochastic Volterra integral equations (FBSVIEs in short) are formulated and studied. A general duality principle is established for li…
Linear Quadratic Stochastic Two-Person Zero-Sum Differential Games in an Infinite Horizon
Jingrui Sun, Jiongmin Yong, Shuguang Zhang
This paper is concerned with a linear quadratic stochastic two-person zero-sum differential game with constant coefficients in an infinite time horizon. Open-loop and closed-loop s…
Regularity Analysis for an Abstract System of Coupled Hyperbolic and Parabolic Equations
Jianghao Hao, Zhuangyi Liu, Jiongmin Yong
In this paper, we provide a complete regularity analysis for an abstract system of coupled hyperbolic and parabolic equations in a complex Hilbert space. We are able to decompose t…
A Deterministic Linear Quadratic Time-Inconsistent Optimal Control Problem
Jiongmin Yong
A time-inconsistent optimal control problem is formulated and studied for a controlled linear ordinary differential equation with quadratic cost functional. A notion of equilibrium…