3 papers
math.OC2025
Fully Coupled Nonlinear FBSEs: Solvability and LQ Control Insights
Zhipeng Niu, Qingxin Meng, Xun Li +1
This paper explores a class of fully coupled nonlinear forward-backward stochastic difference equations (FBSEs). Building on insights from linear quadratic optimal control prob…
math.OC2025
Infinite Horizon Fully Coupled Nonlinear Forward-Backward Stochastic Difference Equations and Their Application to LQ Optimal Control Problems
Xinyu Ma, Xun Li, Qingxin Meng
This paper focuses on the study of infinite horizon fully coupled nonlinear forward-backward stochastic difference equations (FBSEs). Firstly, we establish a pair o…
math.OC2025
Discrete-Time LQ Stochastic Two-Person Nonzero-Sum Difference Games with Random Coefficients:~Open-Loop Nash Equilibrium
Yiwei Wu, Xun Li, Qingxin Meng
This paper presents a pioneering investigation into discrete-time two-person non-zero-sum linear quadratic (LQ) stochastic games with random coefficients. We derive necessary and s…