2 citations · 2 across the 2 of their papers we have counts for
9 papers
Multi-Dimensional Super-Linear Backward Stochastic Volterra Integral Equations
Shengjun Fan, Tianxiao Wang, Jiongmin Yong
In this paper, a systematic investigation is carried out for the general solvability of multi-dimensional backward stochastic Volterra integral equations (BSVIEs) with the generato…
Optimal Feedback Controls of Stochastic Linear Quadratic Control Problems in Infinite Dimensions with Random Coefficients
Qi Lü, Tianxiao Wang
It is a longstanding unsolved problem to characterize the optimal feedback controls for general linear quadratic optimal control problem of stochastic evolution equation with rando…
Backward Stochastic Volterra Integral Equations--- Representation of Adapted Solutions
Tianxiao Wang, Jiongmin Yong
For backward stochastic Volterra integral equations (BSVIEs, for short), under some mild conditions, the so-called adapted solutions or adapted M-solutions uniquely exist. However,…
Characterizations of equilibrium controls in time inconsistent mean-field stochastic linear quadratic problems. I
Tianxiao Wang
In this paper, a class of time inconsistent linear quadratic optimal control problems of mean-field stochastic differential equations (SDEs) is considered under Markovian framework…
General maximum principles for optimal control problems of stochastic Volterra integral equations
Tianxiao Wang
Optimal control problems of forward stochastic Volterra integral equations (SVIEs) are formulated and studied. When control region is arbitrary subset of Euclidean space and contro…
Uniqueness of equilibrium strategies in dynamic mean-variance problems with random coefficients
Tianxiao Wang
This paper is concerned with the uniqueness issue of open-loop equilibrium investment strategies of dynamic mean-variance portfolio selection problems with random coefficients. A u…