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math.OC2021
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…
math.OC2021
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…