73 citations · 232 across the 43 of their papers we have counts for
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Stochastic Linear Quadratic Optimal Control Problems in Infinite Horizon
Jingrui Sun, Jiongmin Yong
This paper is concerned with stochastic linear quadratic (LQ, for short) optimal control problems in an infinite horizon with constant coefficients. It is proved that the non-empti…
Linear Quadratic Stochastic Two-Person Nonzero-Sum Differential Games: Open-Loop and Closed-Loop Nash Equilibria
Jingrui Sun, Jiongmin Yong
In this paper, we consider a linear quadratic stochastic two-person nonzero-sum differential game. Open-loop and closed-loop Nash equilibria are introduced. The existence of the fo…
Time-Inconsistent Recursive Stochastic Optimal Control Problems
Qingmeng Wei, Jiongmin Yong, Zhiyong Yu
In this paper, we study a time-inconsistent stochastic optimal control problem with a recursive cost functional by a multi-person hierarchical differential game approach. An equili…
Exact Controllability of Linear Stochastic Differential Equations and Related Problems
Yanqing Wang, Donghui Yang, Jiongmin Yong +1
A notion of -exact controllability is introduced for linear controlled (forward) stochastic differential equations, for which several sufficient conditions are established. Fu…
Mean-Field Stochastic Linear Quadratic Optimal Control Problems: Closed-Loop Solvability
Xun Li, Jingrui Sun, Jiongmin Yong
An optimal control problem is studied for a linear mean-field stochastic differential equation with a quadratic cost functional. The coefficients and the weighting matrices in the…