135 citations · 241 across the 29 of their papers we have counts for
4 papers · 1 filter
Open-Loop and Closed-Loop Solvabilities for Stochastic Linear Quadratic Optimal Control Problems of Markov Regime-Switching System
Xin Zhang, Xun Li
This paper investigates the stochastic linear quadratic (LQ, for short) optimal control problem of Markov regime switching system. The representation of the cost functional for the…
Optimal Control of Constrained Stochastic Linear-Quadratic Model with Applications
Weiping Wu, Jianjun Gao, Junguo Lu +1
This paper studies a class of continuous-time scalar-state stochastic Linear-Quadratic (LQ) optimal control problem with the linear control constraints. Applying the state separati…
Equilibrium Solutions of Multi-Period Mean-Variance Portfolio Selection
Yuan-Hua Ni, Xun Li, Ji-Feng Zhang +1
This is a companion paper of [Mixed equilibrium solution of time-inconsistent stochastic LQ problem, arXiv:1802.03032], where general theory has been established to characterize th…
Mixed Equilibrium Solution of Time-Inconsistent Stochastic LQ Problem
Yuan-Hua Ni, Xun Li, Ji-Feng Zhang +1
In this paper, we propose a novel equilibrium solution notion for the time-inconsistent stochastic linear-quadratic optimal control problem. This notion is called the mixed equilib…