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20162026
most citedRandomized Optimal Stopping Problem in Continuous time and Reinforcement Learning Algorithm

4 citations · 4 across the 5 of their papers we have counts for

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Showing 2020Show all

2 papers · 1 filter

math.OC2020

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…

math.OC2020

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…