10 citations · 39 across the 24 of their papers we have counts for
26 papers
Hautus-Type Criteria for Controllability and Stabilizability of Backward-Structured Stochastic Systems
Jingrui Sun
This paper develops sharp Hautus-type criteria, stochastic counterparts of the classical Popov-Belevitch-Hautus test, for exact controllability and stabilizability of backwardstruc…
Near optimal controls for partially observed stochastic linear quadratic problems
Jingrui Sun, Jiaqiang Wen, Jie Xiong +1
In this article, we consider a stochastic linear quadratic control problem with partial observation. A near optimal control in the weak formulation is characterized. The main featu…
Long-Time Behavior of Zero-Sum Linear-Quadratic Stochastic Differential Games
Jingrui Sun, Jiongmin Yong
The paper investigates the long-time behavior of zero-sum linear-quadratic stochastic differential games, aiming to demonstrate that, under appropriate conditions, both the saddle…
Turnpike Properties for Mean-Field Linear-Quadratic Optimal Control Problems
Jingrui Sun, Jiongmin Yong
This paper is concerned with an optimal control problem for a mean-field linear stochastic differential equation with a quadratic functional in the infinite time horizon. Under sui…
General Indefinite Backward Stochastic Linear-Quadratic Optimal Control Problems
Jingrui Sun, Jiaqiang Wen, Jie Xiong
A general backward stochastic linear-quadratic optimal control problem is studied, in which both the state equation and the cost functional contain the nonhomogeneous terms. The ma…
Stochastic Linear-Quadratic Optimal Control with Partial Observation
Jingrui Sun, Jie Xiong
The paper studies a class of quadratic optimal control problems for partially observable linear dynamical systems. In contrast to the full information case, the control is required…
Turnpike Properties for Stochastic Linear-Quadratic Optimal Control Problems
Jingrui Sun, Hanxiao Wang, Jiongmin Yong
This paper analyzes the limiting behavior of stochastic linear-quadratic optimal control problems in finite time horizon as . The so-called turnpike pro…
Zero-Sum Stackelberg Stochastic Linear-Quadratic Differential Games
Jingrui Sun, Hanxiao Wang, Jiaqiang Wen
The paper is concerned with a zero-sum Stackelberg stochastic linear-quadratic (LQ, for short) differential game over finite horizons. Under a fairly weak condition, the Stackelber…
Indefinite Backward Stochastic Linear-Quadratic Optimal Control Problems
Jingrui Sun, Zhen Wu, Jie Xiong
This paper is concerned with a backward stochastic linear-quadratic (LQ, for short) optimal control problem with deterministic coefficients. The weighting matrices are allowed to b…
Mean-Field Linear-Quadratic Stochastic Differential Games
Jingrui Sun, Hanxiao Wang, Zhen Wu
The paper is concerned with two-person zero-sum mean-field linear-quadratic stochastic differential games over finite horizons. By a Hilbert space method, a necessary condition and…
Two-Person Zero-Sum Stochastic Linear-Quadratic Differential Games
Jingrui Sun
The paper studies the open-loop saddle point and the open-loop lower and upper values, as well as their relationship for two-person zero-sum stochastic linear-quadratic (LQ, for sh…
Linear-Quadratic Optimal Control for Backward Stochastic Differential Equations with Random Coefficients
Jingrui Sun, Hanxiao Wang
This paper is concerned with a linear-quadratic (LQ, for short) optimal control problem for backward stochastic differential equations (BSDEs, for short), where the coefficients of…
Mean-Field Stochastic Linear-Quadratic Optimal Control Problems: Weak Closed-Loop Solvability
Jingrui Sun, Hanxiao Wang
This paper is concerned with mean-field stochastic linear-quadratic (MF-SLQ, for short) optimal control problems with deterministic coefficients. The notion of weak closed-loop opt…
Optimal Control for Controllable Stochastic Linear Systems
Xiuchun Bi, Jingrui Sun, Jie Xiong
This paper is concerned with a constrained stochastic linear-quadratic optimal control problem, in which the terminal state is fixed and the initial state is constrained to lie in…
Recursive Utility Processes, Dynamic Risk Measures and Quadratic Backward Stochastic Volterra Integral Equations
Hanxiao Wang, Jingrui Sun, Jiongmin Yong
For an $\cF_T$-measurable payoff of a European type contingent claim, the recursive utility process/dynamic risk measure can be described by the adapted solution to a backward stoc…
Indefinite Stochastic Linear-Quadratic Optimal Control Problems with Random Coefficients: Closed-Loop Representation of Open-Loop Optimal Controls
Jingrui Sun, Jie Xiong, Jiongmin Yong
This paper is concerned with a stochastic linear-quadratic optimal control problem in a finite time horizon, where the coefficients of the control system are allowed to be random,…
Weak Closed-Loop Solvability of Stochastic Linear-Quadratic Optimal Control Problems
Jingrui Sun, Hanxiao Wang, Jiongmin Yong
Recently it has been found that for a stochastic linear-quadratic optimal control problem (LQ problem, for short) in a finite horizon, open-loop solvability is strictly weaker than…
Linear Quadratic Optimal Control Problems with Fixed Terminal States and Integral Quadratic Constraints
Jingrui Sun
This paper is concerned with a linear quadratic (LQ, for short) optimal control problem with fixed terminal states and integral quadratic constraints. A Riccati equation with infin…
Stochastic Linear Quadratic Optimal Control Problems in Infinite Horizon
Jingrui Sun, Jiongmin Yong
This paper is concerned with stochastic linear quadratic (LQ, for short) optimal control problems in an infinite horizon with constant coefficients. It is proved that the non-empti…
Linear Quadratic Optimal Control Problems for Mean-Field Backward Stochastic Differential Equations
Xun Li, Jingrui Sun, Jie Xiong
This paper is concerned with linear quadratic optimal control problems for mean-field backward stochastic differential equations (MF-BSDEs, for short) with deterministic coefficien…
Linear Quadratic Stochastic Two-Person Nonzero-Sum Differential Games: Open-Loop and Closed-Loop Nash Equilibria
Jingrui Sun, Jiongmin Yong
In this paper, we consider a linear quadratic stochastic two-person nonzero-sum differential game. Open-loop and closed-loop Nash equilibria are introduced. The existence of the fo…
Mean-Field Stochastic Linear Quadratic Optimal Control Problems: Closed-Loop Solvability
Xun Li, Jingrui Sun, Jiongmin Yong
An optimal control problem is studied for a linear mean-field stochastic differential equation with a quadratic cost functional. The coefficients and the weighting matrices in the…
Mean-Field Stochastic Linear Quadratic Optimal Control Problems: Open-Loop Solvabilities
Jingrui Sun
This paper is concerned with a mean-field linear quadratic (LQ, for short) optimal control problem with deterministic coefficients. It is shown that convexity of the cost functiona…
Open-Loop and Closed-Loop Solvabilities for Stochastic Linear Quadratic Optimal Control Problems
Jingrui Sun, Xun Li, Jiongmin Yong
This paper is concerned with a stochastic linear quadratic (LQ, for short) optimal control problem. The notions of open-loop and closed-loop solvabilities are introduced. A simple…