135 citations · 241 across the 29 of their papers we have counts for
Showing 2019 · math.OCShow all
2 papers · 2 filters
math.OC2019★ 3 cited
Mean Field Game for Linear Quadratic Stochastic Recursive Systems
Liangquan Zhang, Xun Li
This paper focuses on linear-quadratic (LQ for short) mean-field games described by forward-backward stochastic differential equations (FBSDEs for short), in which the individual c…
math.OC2019
Optimal Control of Markov Regime-Switching Stochastic Recursive Utilities
Liangquan Zhang, Xun Li
In this paper, we establish a general stochastic maximum principle for optimal control for systems described by a continuous-time Markov regime-switching stochastic recursive utili…