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math.OC2026
Value existence for zero-sum ergodic stochastic differential games
Juan Li, Wenqiang Li, Yanwei Li +1
In this paper we investigate two-player zero-sum stochastic differential games with an ergodic payoff, in which the diffusion coefficient does not need to be non-degenerate. We fir…
math.OC2024
A Global Stochastic Maximum Principle for Mean-Field Forward-Backward Stochastic Control Systems with Quadratic Generators
Rainer Buckdahn, Juan Li, Yanwei Li +1
Our paper is devoted to the study of Peng's stochastic maximum principle (SMP) for a stochastic control problem composed of a controlled forward stochastic differential equation (S…