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math.PR2022★ 1 cited
Backward stochastic differential equations with conditional reflection and related recursive optimal control problems
Ying Hu, Jianhui Huang, Wenqiang Li
We introduce a new type of reflected backward stochastic differential equations (BSDEs) for which the reflection constraint is imposed on its main solution component, denoted as $Y…
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…
math.PR2012★ 2 cited
Regularity properties for general HJB equations. A BSDE method
Rainer Buckdahn, Jianhui Huang, Juan Li
In this work we investigate regularity properties of a large class of Hamilton-Jacobi-Bellman (HJB) equations with or without obstacles, which can be stochastically interpreted in…