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…
Comparison Theorems for Backward Stochastic Volterra Integral Equations
Tianxiao Wang, Jiongmin Yong
For backward stochastic Volterra integral equations (BSVIEs) in multi-dimensional Euclidean spaces, comparison theorems are established in a systematic way for the adapted solution…
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…