6 citations · 13 across the 4 of their papers we have counts for
8 papers
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…
Recursive Identification of Binary-Valued Systems under Uniform Persistent Excitations
Jieming Ke, Ying Wang, Yanlong Zhao +1
This paper studies the control-oriented identification problem of set-valued moving average systems with uniform persistent excitations and observation noises. A stochastic approxi…
Kalman-Bucy filtering and minimum mean square estimator under uncertainty
Shaolin Ji, Chuiliu Kong, Chuanfeng Sun +1
In this paper, we study a generalized Kalman-Bucy filtering problem under uncertainty. The drift uncertainty for both signal process and observation process is considered and the a…
Mean Field Linear Quadratic Control: Uniform Stabilization and Social Optimality
Bing-Chang Wang, Huanshui Zhang, Ji-Feng Zhang
This paper is concerned with uniform stabilization and social optimality for general mean field linear quadratic control systems, where subsystems are coupled via individual dynami…
Social Optima in Robust Mean Field LQG Control: From Finite to Infinite Horizon
Bing-Chang Wang, Jianhui Huang, Ji-Feng Zhang
This paper studies social optimal control of mean field LQG (linear-quadratic-Gaussian) models with uncertainty. Specially, the uncertainty is represented by a uncertain drift whic…
Equilibrium Solutions of Multi-Period Mean-Variance Portfolio Selection
Yuan-Hua Ni, Xun Li, Ji-Feng Zhang +1
This is a companion paper of [Mixed equilibrium solution of time-inconsistent stochastic LQ problem, arXiv:1802.03032], where general theory has been established to characterize th…