22 citations · 51 across the 18 of their papers we have counts for
19 papers
Optimal Transport for Continuous-Time Mean-Variance Portfolio Selection
Yijie Zeng, Liangquan Zhang, Xun Li
The continuous-time mean-variance portfolio selection problem is investigated in this paper through a rigorous integration of backward stochastic differential equation (BSDE) and K…
Stochastic Recursive Optimal Control of McKean-Vlasov Type: A Viscosity Solution Approach
Liangquan Zhang
In this paper, we study a kind of optimal control problem for forward-backward stochastic differential equations (FBSDEs for short) of McKean--Vlasov type via the dynamic programmi…
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…
The Viability Property for Path-dependent SDE under Open Constraints
Liangquan Zhang
In this note, we study the viability of a bounded open domain in for a process driven by a path-dependent stochastic differential equation with Lipschitz data. W…
Necessary Condition for Near Optimal Control of Linear Forward-backward Stochastic Differential Equations
Liangquan Zhang, Jianhui Huang, Xun Li
This paper investigates the near optimal control for a kind of linear stochastic control systems governed by the forward backward stochastic differential equations, where both the…
Asymptotic Properties of Coupled Forward-Backward Stochastic Differential Equations
Ana Bela Cruzeiro, André de Oliveira Gomes, Liangquan Zhang
In this paper, we consider coupled forward-backward stochastic differential equations (FBSDEs in short) with parameter . We study the asymptotic behavior of its sol…
Selection in the Zero-Noise Limit for High-Dimensional Diffusions with Measurable Drift
Liangquan Zhang, Chang Li
This paper investigates the zero-noise limit of high-dimensional small-noise diffusion processes governed by the stochastic differential equation (SDE) \begin{equation*} \mathrm{d}…
The Relaxed Stochastic Maximum Principle in the Mean-field Singular Controls
Liangquan Zhang
In this paper, we study the optimal control system driven by stochastic differential equations (SDEs) of mean-field type, in which the control variable has two components, the firs…
Large Deviation for Reflected Backward Stochastic Differential Equations
Liangquan Zhang
In this note, we prove the Freidlin-Wentzell's large deviation principle for BSDEs with one-sided reflection.
Stochastic Verification Theorem of Forward-Backward Controlled Systems for Viscosity Solutions
Liangquan Zhang
In this paper, we investigate the controlled system described by forward-backward stochastic differential equations with the control contained in drift, diffusion and generator of…
General Doubly Stochastic Maximum Principle and Its Applications to Optimal Control of SPDEs
Liangquan Zhang, Yufeng Shi
In this paper, we prove the necessary and sufficient maximum principles (NSMPs in short) for the optimal control of systems described by a quasilinear stochastic heat equation with…
Comparison Theorems of Infinite Horizon Forward-Backward Stochastic Differential Equations
Liangquan Zhang, Yufeng Shi
By the methods of probability and duality technique, we give some comparison theorems for the solutions of infinite horizon forward-backwad stochastic differential equations.
Comparison Theorem of Multi-dimensional Backward Doubly Stochastic Differential Equations on Infinite Horizon
Liangquan Zhang, Yufeng Shi
Under quasi-monotone assumptions for coefficients, we show one kind of comparison theorem for multi-dimensional\textbf{\}backward doubly stochastic differential equations on infini…
Maximum Principle for Forward-Backward Doubly Stochastic Control Systems and Applications
Liangquan Zhang, Yufeng Shi
The maximum principle for optimal control problems of fully coupled forward-backward doubly stochastic differential equations (FBDSDEs in short) in the global form is obtained, und…