5 citations · 19 across the 28 of their papers we have counts for
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math.OC2023
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…
math.OC2023
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…
math.OC2023★ 1 cited
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…