2 papers
math.OC2026
Long-Time Behaviors of Stochastic Linear-Quadratic Optimal Control Problems
Jiamin Jian, Sixian Jin, Qingshuo Song +1
This paper investigates the asymptotic behavior of the solution to a linear-quadratic stochastic optimal control problems. The so-called probability cell problem is introduced the…
math.NA2025
On modified Euler methods for McKean-Vlasov stochastic differential equations with super-linear coefficients
Jiamin Jian, Qingshuo Song, Xiaojie Wang +2
We introduce a new class of numerical methods for solving McKean-Vlasov stochastic differential equations, which are relevant in the context of distribution-dependent or mean-field…