135 citations · 241 across the 29 of their papers we have counts for
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math.OC2017★ 2 cited
A Class of Discrete-time Mean-field Stochastic Linear-quadratic Optimal Control Problems with Financial Application
Xun Li, Allen H. Tai, Fei Tian
This paper is concerned with a discrete-time mean-field stochastic linear-quadratic optimal control problem arose from financial application. Through matrix dynamical optimization…
math.OC2017★ 11 cited
Equilibrium for Time-Inconsistent Stochastic Linear--Quadratic Control under Constraint
Ying Hu, Jianhui Huang, Xun Li
In this paper, we study a class of stochastic time-inconsistent linear-quadratic (LQ) control problems with control input constraints. These problems are investigated within the mo…
math.OC2017★ 6 cited
On Time-Consistent Solution to Time-Inconsistent Linear-Quadratic Optimal Control of Discrete-Time Stochastic Systems
Xun Li, Yuan-Hua Ni, Ji-Feng Zhang
In this paper, we investigate a class of time-inconsistent discrete-time stochastic linear-quadratic optimal control problems, whose time-consistent solutions consist of an open-lo…