6 papers · 1 filter
Randomized Optimal Switching Problem and Related Mirror Descent Flow
Yuchao Dong
We study continuous-time reinforcement learning for the optimal switching problem, in which a decision-maker controls a diffusion process by switching among finitely many regimes,…
The Relationship between Maximum Principle and Dynamic Programming Principle for Stochastic Recursive Control Problem with Random Coefficients
Yuchao Dong, Qingxin Meng, Qi Zhang
This paper aims to explore the relationship between maximum principle and dynamic programming principle for stochastic recursive control problem with random coefficients. Under cer…
Optimal controls of stochastic differential equations with jumps and random coefficients: Stochastic Hamilton-Jacobi-Bellman equations with jumps
Qingxin Meng, Yuchao Dong, Yang Shen +1
In this paper, we study the following nonlinear backward stochastic integral partial differential equation with jumps \begin{equation*} \left\{ \begin{split} -d V(t,x) =&\displayst…
Backward Stochastic Riccati Equation with Jumps associated with Stochastic Linear Quadratic Optimal Control with Jumps and Random Coefficients
Fu Zhang, Yuchao Dong, Qingxin Meng
In this paper, we investigate the solvability of matrix valued Backward stochastic Riccati equations with jumps (BSREJ), which is associated with a stochastic linear quadratic (SLQ…
Second-Order Necessary Conditions for Optimal Control with Recursive Utilities
Yuchao Dong, Qingxin Meng
The necessary conditions for an optimal control of a stochastic control problem with recursive utilities is investigated. The first order condition is the the well-known Pontryagin…
Constrained LQ problem with a random jump and application to portfolio selection
Yuchao Dong
In this paper, we consider a constrained stochastic linear-quadratic (LQ) optimal control problem where the control is constrained in a closed cone. The state process is governed b…