73 citations · 232 across the 43 of their papers we have counts for
43 papers
Present-Biased Lobbyists in Linear Quadratic Stochastic Differential Games
Ali Lazrak, Hanxiao Wang, Jiongmin Yong
We investigate a linear quadratic stochastic zero-sum game where two players lobby a political representative to invest in a wind turbine farm. Players are time-inconsistent becaus…
Multi-Dimensional Super-Linear Backward Stochastic Volterra Integral Equations
Shengjun Fan, Tianxiao Wang, Jiongmin Yong
In this paper, a systematic investigation is carried out for the general solvability of multi-dimensional backward stochastic Volterra integral equations (BSVIEs) with the generato…
Non-Equivalence of Stochastic Optimal Control Problems with Open and Closed Loop Controls
Jiongmin Yong, Jianfeng Zhang
For an optimal control problem of an Itô's type stochastic differential equation, the control process could be taken as open-loop or closed-loop forms. In the standard literature,…
Remarks on Viscosity Super-Solutions of Quasi-Variational Inequalities
Yue Zhou, Xinwei Feng, Jiongmin Yong
For Hamilton-Jacobi-Bellman (HJB) equations, with the standard definitions of viscosity super-solution and sub-solution, it is known that there is a comparison between any (viscosi…
Infinite Horizon Linear Quadratic Overtaking Optimal Control Problems
Jianping Huang, Jiongmin Yong, Hua-Cheng Zhou
A linear control system with quadratic cost functional over infinite time horizon is considered without assuming controllability/stabilizability condition and the global integrabil…
Mean-Field Linear-Quadratic Stochastic Differential Games in an Infinite Horizon
Xun Li, Jingtao Shi, Jiongmin Yong
This paper is concerned with two-person mean-field linear-quadratic non-zero sum stochastic differential games in an infinite horizon. Both open-loop and closed-loop Nash equilibri…