135 citations · 241 across the 29 of their papers we have counts for
4 papers · 1 filter
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…
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…
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…
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…