4 citations · 5 across the 3 of their papers we have counts for
4 papers · 1 filter
A Q-learning algorithm for discrete-time linear-quadratic control with random parameters of unknown distribution: convergence and stabilization
Kai Du, Qingxin Meng, Fu Zhang
This paper studies an infinite horizon optimal control problem for discrete-time linear systems and quadratic criteria, both with random parameters which are independent and identi…
Backward Stochastic Riccati Equation with Jumps associated with Stochastic Linear Quadratic Optimal Control with Jumps and Random Coefficients
Fu Zhang, Yuchao Dong, Qingxin Meng
In this paper, we investigate the solvability of matrix valued Backward stochastic Riccati equations with jumps (BSREJ), which is associated with a stochastic linear quadratic (SLQ…
Partial Information Stochastic Differential Games for Backward Stochastic Systems Driven By Lévy Processes
Fu Zhang, Qingxin Meng, Maoning Tang
In this paper, we consider a partial information two-person zero-sum stochastic differential game problem where the system is governed by a backward stochastic differential equatio…
Path-Dependent Optimal Stochastic Control and Viscosity Solution of Associated Bellman Equations
Shanjian Tang, Fu Zhang
In this paper we study the optimal stochastic control problem for a path-dependent stochastic system under a recursive path-dependent cost functional, whose associated Bellman equa…