5 citations · 19 across the 28 of their papers we have counts for
28 papers
Stochastic Optimal Control Problem under Inside Information
Yuxin Ye, Jingtao Shi
This paper is concerned with a stochastic optimal control problem under inside information. The control process depends on an -measurable random variable , re…
A Risk-Sensitive Global Maximum Principle for Controlled Fully Coupled FBSDEs with Applications
Jingtao Lin, Jingtao Shi
This paper is concerned with a kind of risk-sensitive optimal control problem for fully coupled forward-backward stochastic systems. The control variable enters the diffusion term…
Closed-Loop Solvability of Linear Quadratic Mean-Field Type Stackelberg Stochastic Differential Games
Zixuan Li, Jingtao Shi
This paper is devoted to a Stackelberg stochastic differential game for a linear mean-field type stochastic differential system with a mean-field type quadratic cost functional in…
A general maximum principle for optimal control of stochastic differential delay systems
Weijun Meng, Jingtao Shi, Tianxiao Wang +1
In this paper, we solve an open problem and obtain a general maximum principle for a stochastic optimal control problem where the control domain is an arbitrary non-empty set and a…
Mixed Leadership Stochastic Differential Game in Feedback Information Pattern with Applications
Qi Huang, Jingtao Shi
This paper is devoted to a high-dimensional mixed leadership stochastic differential game on a finite horizon in feedback information mode, where the control variables enter into t…
A Three-level Stochastic Linear-quadratic Stackelberg Differential Game with Asymmetric Information
Kaixin Kang, Jingtao Shi
This paper is concerned with a three-level stochastic linear-quadratic Stackelberg differential game with asymmetric information, in which three players participate credited as Pla…
Closed-Loop Solvability of Stochastic Linear-Quadratic Optimal Control Problems with Poisson Jumps
Zixuan Li, Jingtao Shi
This paper is concerned with the stochastic linear-quadratic optimal control problem with Poisson jumps. The coefficients in the state equation and the weighting matrices in the co…
The Maximum Principle for Discounted Optimal Control of Partially Observed Forward-Backward Stochastic Systems with Jumps on Infinite Horizon
Yueyang Zheng, Jingtao Shi
This paper is concerned with a discounted optimal control problem of partially observed forward-backward stochastic systems with jumps on infinite horizon. The control domain is co…
The Global Maximum Principle for Progressive Optimal Control of Partially Observed Forward-Backward Stochastic Systems with Random Jumps
Yueyang Zheng, Jingtao Shi
IIn this paper, we study a partially observed progressive optimal control problem of forward-backward stochastic differential equations with random jumps, where the control domain…
Linear Quadratic Leader-follower Stochastic Differential Games: Closed-Loop Solvability
Zixuan Li, Jingtao Shi
In this paper, a leader-follower stochastic differential game is studied for a linear stochastic differential equation with a quadratic cost functional. The coefficients in the sta…
Linear Quadratic Stackelberg Stochastic Differential Games: Closed-Loop Solvability
Zixuan Li, Jingtao Shi
This paper is concerned with the closed-loop solvability of one kind of linear-quadratic Stackelberg stochastic differential game, where the coefficients are deterministic. The not…
A Linear Quadratic Stochastic Stackelberg Differential Game with Time Delay
Weijun Meng, Jingtao Shi
This paper is concerned with a linear quadratic stochastic Stackelberg differential game with time delay. The model is general, in which the state delay and the control delay both…
A Linear Quadratic Partially Observed Stackelberg Stochastic Differential Game with Applications
Yueyang Zheng, Jingtao Shi
This paper is concerned with a linear-quadratic partially observed Stackelberg stochastic differential game with correlated state and observation noises, where the diffusion coeffi…
Linear Quadratic Optimal Control Problems of Delayed Backward Stochastic Differential Equations
Weijun Meng, Jingtao Shi
This paper is concerned with a linear quadratic optimal control problem of delayed backward stochastic differential equations. An explicit representation is derived for the optimal…
Stackelberg Stochastic Differential Game with Asymmetric Noisy Observations
Yueyang Zheng, Jingtao Shi
This paper is concerned with a Stackelberg stochastic differential game with asymmetric noisy observation, with one follower and one leader. In our model, the follower cannot obser…
Mean-Field Linear-Quadratic Stochastic Differential Games in an Infinite Horizon
Xun Li, Jingtao Shi, Jiongmin Yong
This paper is concerned with two-person mean-field linear-quadratic non-zero sum stochastic differential games in an infinite horizon. Both open-loop and closed-loop Nash equilibri…
A Linear-Quadratic Stackelberg Differential Game with Mixed Deterministic and Stochastic Controls
Jingtao Shi, Guangchen Wang
This paper is concerned with a linear-quadratic (LQ) leader-follower differential game with mixed deterministic and stochastic controls. In the game, the follower is a random contr…
Stochastic Recursive Optimal Control Problem with Mixed Delay under Viscosity Solution's Framework
Weijun Meng, Jingtao Shi
This paper is concerned with the stochastic recursive optimal control problem with mixed delay. The connection between Pontryagin's maximum principle and Bellman's dynamic programm…
A Global Maximum Principle for the Stochastic Optimal Control Problem with Delay
Weijun Meng, Jingtao Shi
In this paper, an open problem is solved, for the stochastic optimal control problem with delay where the control domain is nonconvex and the diffusion term contains both control a…
A Stackelberg Game of Backward Stochastic Differential Equations with Partial Information
Yueyang Zheng, Jingtao Shi
This paper is concerned with a Stackelberg game of backward stochastic differential equations (BSDEs) with partial information, where the information of the follower is a sub--a…
Optimal Reinsurance and Investment Strategies under Mean-Variance Criteria: Partial and Full Information
Shihao Zhu, Jingtao Shi
This paper is concerned with an optimal reinsurance and investment problem for an insurance firm under the criterion of mean-variance. The driving Brownian motion and the rate in r…
A Stackelberg Game of Backward Stochastic Differential Equations with Applications
Yueyang Zheng, Jingtao Shi
This paper is concerned with a Stackelberg game of backward stochastic differential equations (BSDEs), where the coefficients of the backward system and the cost functionals are de…
An Optimal Investment Problem under Correlated Noises: Risk-Sensitive Stochastic Control Approach
Le Yang, Yueyang Zheng, Jingtao Shi
This paper is concerned with an optimal investment problem under correlated noises in the financial market, and the expected utility functional is hyperbolic absolute risk aversion…
Stochastic Linear Quadratic Stackelberg Differential Game with Overlapping Information
Jingtao Shi, Guangchen Wang, Jie Xiong
This paper is concerned with the stochastic linear quadratic Stackelberg differential game with overlapping information, where the diffusion terms contain the control and state var…