5 citations · 19 across the 28 of their papers we have counts for
6 papers · 1 filter
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…