1 citations · 2 across the 7 of their papers we have counts for
7 papers
Mean field games of major-minor agents with recursive functionals
Jianhui Huang, Wenqiang Li, Harry Zheng
This paper investigates a novel class of mean field games involving a major agent and numerous minor agents, where the agents' functionals are recursive with nonlinear backward sto…
Stochastic representation for solutions of a system of coupled HJB-Isaacs equations with integral-partial operators
Sheng Luo, Wenqiang Li, Xun Li +1
In this paper, we focus on the stochastic representation of a system of coupled Hamilton-Jacobi-Bellman-Isaacs (HJB-Isaacs (HJBI), for short) equations which is in fact a system of…
Backward stochastic differential equations with conditional reflection and related recursive optimal control problems
Ying Hu, Jianhui Huang, Wenqiang Li
We introduce a new type of reflected backward stochastic differential equations (BSDEs) for which the reflection constraint is imposed on its main solution component, denoted as $Y…
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…
A game theoretical approach to homothetic robust forward investment performance processes in stochastic factor models
Juan Li, Wenqiang Li, Gechun Liang
This paper studies an optimal forward investment problem in an incomplete market with model uncertainty, in which the underlying stocks depend on the correlated stochastic factors.…
Fully coupled mean-field FBSDEs with jumps and related optimal control problems
Wenqiang Li, Hui Min
This paper study a type of fully coupled mean-field forward-backward stochastic differential equations with jumps under the monotonicity condition, including the existence and the…
Zero-sum and nonzero-sum differential games without Isaacs condition
Juan Li, Wenqiang Li
In this paper we study the zero-sum and nonzero-sum differential games with not assuming Isaacs condition. Along with the partition of the time interval , we choose the…