7 citations · 11 across the 5 of their papers we have counts for
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Optimal Ergodic Control of Linear Stochastic Differential Equations with Quadratic Cost Functionals Having Indefinite Weights
Hongwei Mei, Qingmeng Wei, Jiongmin Yong
An optimal ergodic control problem (EC problem, for short) is investigated for a linear stochastic differential equation with quadratic cost functional. Constant nonhomogeneous ter…
Time-Inconsistent Recursive Stochastic Optimal Control Problems
Qingmeng Wei, Jiongmin Yong, Zhiyong Yu
In this paper, we study a time-inconsistent stochastic optimal control problem with a recursive cost functional by a multi-person hierarchical differential game approach. An equili…
Stochastic differential games for fully coupled FBSDEs with jumps
Juan Li, Qingmeng Wei
This paper is concerned with stochastic differential games (SDGs) defined through fully coupled forward-backward stochastic differential equations (FBSDEs) which are governed by Br…
Optimal control problems of fully coupled FBSDEs and viscosity solutions of Hamilton-Jacobi-Bellman equations
Juan Li, Qingmeng Wei
In this paper we study stochastic optimal control problems of fully coupled forward-backward stochastic differential equations (FBSDEs). The recursive cost functionals are defined…
Stochastic differential game of functional forward-backward stochastic system and related path-dependent HJBI equation
Shaolin Ji, Qingmeng Wei
This paper is devoted to a stochastic differential game of functional forward-backward stochastic differential equation (FBSDE, for short). The associated upper and lower value fun…