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math.OC2024
Non-homogeneous stochastic linear-quadratic optimal control problems with multi-dimensional state and regime switching
Yuyang Chen, Peng Luo
In this paper, we study non-homogeneous stochastic linear-quadratic (LQ) optimal control problems with multi-dimensional state and regime switching. We focus on the corresponding s…
math.OC2024
The perturbation method applied to a robust optimization problem with constraint
Peng Luo, Alexander Schied, Xiaole Xue
The present paper studies a kind of robust optimization problems with constraint. The problem is formulated through Backward Stochastic Differential Equations (BSDEs) with quadrati…