73 citations · 232 across the 43 of their papers we have counts for
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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,…
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…
An efficient numerical algorithm for solving data driven feedback control problems
Richard Archibald, Feng Bao, Jiongmin Yong +1
The goal of this paper is to solve a class of stochastic optimal control problems numerically, in which the state process is governed by an Itô type stochastic differential equatio…
Continuity of the Value Function for Deterministic Optimal Impulse Control with Terminal State Constraint
Yue Zhou, Xinwei Feng, Jiongmin Yong
Deterministic optimal impulse control problem with terminal state constraint is considered. Due to the appearance of the terminal state constraint, the value function might be disc…
A Finite Horizon Optimal Stochastic Impulse Control Problem with A Decision Lag
Chang Li, Jiongmin Yong
This paper studies an optimal stochastic impulse control problem in a finite horizon with a decision lag, by which we mean that after an impulse is made, a fixed number units of ti…