10 citations · 39 across the 24 of their papers we have counts for
4 papers · 1 filter
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…