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math.OC2012
A Mixed Linear Quadratic Optimal Control Problem with a Controlled Time Horizon
Jianhui Huang, Xun Li, Jiongmin Yong
A mixed linear quadratic (MLQ, for short) optimal control problem is considered. The controlled stochastic system consists of two diffusion processes which are in different time ho…
math.OC2012★ 6 cited
A Linear-Quadratic Optimal Control Problem for Mean-Field Stochastic Differential Equations in Infinite Horizon
Jianhui Huang, Xun Li, Jiongmin Yong
A linear-quadratic (LQ, for short) optimal control problem is considered for mean-field stochastic differential equations with constant coefficients in an infinite horizon. The sta…