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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…