57 citations · 70 across the 31 of their papers we have counts for
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The Pontryagin's maximum principle for stochastic differential systems under state constraints
Shuzhen Yang
In this study, we consider an optimal control problem driven by a stochastic differential equation with state constraints. Here, the state constraints mean the constraints about th…
The necessary and sufficient conditions for stochastic differential systems with multi-time states cost functional
Shuzhen Yang
From economics point of view, we investigate a new optimal control problem driven by a stochastic differential equation with a multi-time states cost functional. By constructing a…
Multidimensional viscosity solutions theory of semi-linear partial differential equations
Shuzhen Yang
In this study, we concern the multidimensional viscosity solutions theory of a kind of semi-linear partial differential equations (PDEs). A new definition of viscosity solution for…
On an Optimal Extraction Problem with Regime Switching
Giorgio Ferrari, Shuzhen Yang
This paper studies a finite-fuel two-dimensional degenerate singular stochastic control problem under regime switching that is motivated by the optimal irreversible extraction prob…