135 citations · 241 across the 29 of their papers we have counts for
Showing math.PRShow all
3 papers · 1 filter
math.PR2019★ 3 cited
Anticipated backward stochastic differential equations with quadratic growth
Ying Hu, Xun Li, Jiaqiang Wen
In this paper, we study the solvability of anticipated backward stochastic differential equations (BSDEs, for short) with quadratic growth for one-dimensional case and multi-dimens…
math.PR2019★ 1 cited
Weak Closed-Loop Solvability of Stochastic Linear Quadratic Optimal Control Problems of Markovian Regime Switching System
Jiaqiang Wen, Xun Li, Jie Xiong
In this paper, we investigate the open-loop and weak closed-loop solvabilities of stochastic linear quadratic (LQ, for short) optimal control problem of Markovian regime switching…
math.PR2013
Mean Field Linear-Quadratic-Gaussian (LQG) Games for Stochastic Integral Systems
Jianhui Huang, Xun Li, Tianxiao Wang
In this paper we discuss a class of mean field linear-quadratic-Gaussian (LQG) games for large population system which has never been addressed by existing literature. The features…