3 citations · 8 across the 8 of their papers we have counts for
15 papers · 1 filter
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…
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…