11 citations · 48 across the 24 of their papers we have counts for
13 papers · 1 filter
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…
Spike Variations for Stochastic Volterra Integral Equations
Tianxiao Wang, Jiongmin Yong
Spike variation technique plays a crucial role in deriving Pontryagin's type maximum principle of optimal controls for differential equations of several types, including ordinary d…
Linear-quadratic stochastic Volterra controls II: Optimal strategies and Riccati--Volterra equations
Yushi Hamaguchi, Tianxiao Wang
In this paper, we study linear-quadratic control problems for stochastic Volterra integral equations with singular and non-convolution-type coefficients. The weighting matrices in…
Linear-quadratic stochastic Volterra controls I: Causal feedback strategies
Yushi Hamaguchi, Tianxiao Wang
In this paper, we formulate and investigate the notion of causal feedback strategies arising in linear-quadratic control problems for stochastic Volterra integral equations (SVIEs)…
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…
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…
Equilibrium controls in time inconsistent stochastic linear quadratic problems
Tianxiao Wang
This paper deals with a class of time inconsistent stochastic linear quadratic (SLQ) optimal control problems in Markovian framework. Three notions, i.e., closed-loop equilibrium c…
Mean-variance portfolio selection and variance hedging with random coefficients: closed-loop equilibrium strategy
Tianxiao Wang
In this paper, both dynamic mean-variance portfolio selection problems and dynamic variance hedging problems are discussed under non-Markovian framework. Explicit closed-loop equil…
Optimal control problems of forward-backward stochastic Volterra integral equations with closed control regions
Tianxiao Wang, Haisen Zhang
Optimal control problems of forward-backward stochastic Volterra integral equations (FBSVIEs, in short) with closed control regions are formulated and studied. Instead of using spi…
Characterization of Optimal Feedback for Stochastic Linear Quadratic Control Problems
Qi Lu, Tianxiao Wang, Xu Zhang
One of the fundamental issues in Control Theory is to design feedback controls. It is well-known that, the purpose of introducing Riccati equations in the deterministic case is to…
Optimal Control Problems of Forward-Backward Stochastic Volterra Integral Equations
Yufeng Shi, Tianxiao Wang, Jiongmin Yong
Optimal control problems of forward-backward stochastic Volterra integral equations (FBSVIEs in short) are formulated and studied. A general duality principle is established for li…