1 citations · 1 across the 2 of their papers we have counts for
6 papers
Mean Field Game for Linear Quadratic Stochastic Recursive Systems
Liangquan Zhang, Xun Li
This paper focuses on linear-quadratic (LQ for short) mean-field games described by forward-backward stochastic differential equations (FBSDEs for short), in which the individual c…
Optimal Control of Markov Regime-Switching Stochastic Recursive Utilities
Liangquan Zhang, Xun Li
In this paper, we establish a general stochastic maximum principle for optimal control for systems described by a continuous-time Markov regime-switching stochastic recursive utili…
A BSDE Approach to Stochastic Differential Games Involving Impulse Controls and HJBI Equation
Liangquan Zhang
This paper focuses on zero-sum stochastic differential games in the framework of forward-backward stochastic differential equations on a finite time horizon with both players adopt…
Singular Optimal Controls for Stochastic Recursive Systems under Convex Control Constraint
Liangquan Zhang
In this paper, we study two kinds of singular optimal controls (SOCs for short) problems where the systems governed by forward-backward stochastic differential equations (FBSDEs fo…
Singular Optimal Controls of Stochastic Recursive Systems and Hamilton-Jacobi-Bellman Inequality
Liangquan Zhang
In this paper, we study the optimal singular controls for stochastic recursive systems, in which the control has two components: the regular control, and the singular control. Unde…
Stochastic Maximum Principle for Mean-field Controls and Non-Zero Sum Mean-field Game Problems for Forward-Backward Systems
Ruimin Xu, Liangquan Zhang
The objective of the present paper is to investigate the solution of fully coupled mean-field forward-backward stochastic differential equations (FBSDEs in short) and to study the…