73 citations · 232 across the 43 of their papers we have counts for
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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…
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…
A Deterministic Linear Quadratic Time-Inconsistent Optimal Control Problem
Jiongmin Yong
A time-inconsistent optimal control problem is formulated and studied for a controlled linear ordinary differential equation with quadratic cost functional. A notion of equilibrium…
Time-Inconsistent Optimal Control Problems and the Equilibrium HJB Equation
Jiongmin Yong
A general time-inconsistent optimal control problem is considered for stochastic differential equations with deterministic coefficients. Under suitable conditions, a Hamilton-Jacob…