4 citations · 10 across the 17 of their papers we have counts for
18 papers
A Unified Theory of Solvability for Stochastic Linear-Quadratic Control Problems I: The Homogeneous Case
Hongwei Mei
The existing theory of stochastic linear-quadratic (LQ) optimal control problems focuses on open-loop and closed-loop solvability. For finite horizon problems, it is widely accepte…
Option Pricing under Stochastic Volatility and Jumps:A PIDE Framework with Empirical Evidence
Abigail Anokyewaa Mensah, Ayush Jha, Hongwei Mei +3
We develop a partial integro-differential equation (PIDE) framework for option pricing under joint stochastic volatility and jump dynamics, and evaluate its empirical content using…
Turnpike Property of Mean-Field Linear-Quadratic Optimal Control Problems in Infinite-Horizon with Regime Switching
Hongwei Mei, Svetlozar Rachev, Rui Wang
This paper considers an optimal control problem for a linear mean-field stochastic differential equation having regime switching with quadratic functional in the large time horizon…
Turnpike Property of a Linear-Quadratic Optimal Control Problem in Large Horizons with Regime Switching II: Non-Homogeneous Cases
Hongwei Mei, Rui Wang, Jiongmin Yong
This paper is concerned with an optimal control problem for a nonhomogeneous linear stochastic differential equation having regime switching with a quadratic functional in the larg…
Turnpike Property of Stochastic Linear-Quadratic Optimal Control Problems in Large Horizons with Regime Switching I: Homogeneous Cases
Hongwei Mei, Rui Wang, Jiongmin Yong
This paper is concerned with optimal control problems for a linear homogeneous stochastic differential equation having regime switching with purely quadratic functional in the larg…
Infinite Horizon Mean-Field Linear-Quadratic Optimal Control Problems with Switching and Indefinite-Weighted Costs
Hongwei Mei, Rui Wang, Qingmeng Wei +1
This paper is concerned with an infinite horizon stochastic linear quadratic (LQ, for short) optimal control problems with conditional mean-field terms in a switching environment.…
Linear-Quadratic Optimal Control for Mean-Field Stochastic Differential Equations in Infinite-Horizon with Regime Switching
Hongwei Mei, Qingmeng Wei, Jiongmin Yong
This paper is concerned with stochastic linear quadratic (LQ, for short) optimal control problems in an infinite horizon with conditional mean-field term in a switching regime envi…
Closed-loop Equilibria for Mean-Field Games in Randomly Switching Environments with General Discounting Costs
Hongwei Mei, Son Luu Nguyen, George Yin
This work is devoted to finding the closed-loop equilibria for a class of mean-field games (MFGs) with infinitely many symmetric players in a common switching environment when the…
The Minimax Wiener Sequential Testing Problem
Philip Ernst, Hongwei Mei
Consider the sample path of a one-dimensional diffusion for which the diffusion coefficient is given and where the drift may take on one of two values: or . Suppose that…
Linear-Quadratic Optimal Control Problem for Mean-Field Stochastic Differential Equations with a Type of Random Coefficients
Hongwei Mei, Qingmeng Wei, Jiongmin Yong
Motivated by linear-quadratic optimal control problems (LQ problems, for short) for mean-field stochastic differential equations (SDEs, for short) with the coefficients containing…
Quickest Real-Time Detection of Multiple Brownian Drifts
Philip A. Ernst, Hongwei Mei, Goran Peskir
Consider the motion of a Brownian particle in dimensions, whose coordinate processes are standard Brownian motions with zero drift initially, and then at some random/unobservab…
Exact optimal stopping for multidimensional linear switching diffusions
Philip Ernst, Hongwei Mei
The paper studies a class of multidimensional optimal stopping problems with infinite horizon for linear switching diffusions. There are two main novelties in the optimal problems…
Uniqueness of Dissipative Solution for Camassa-Holm Equation with Peakon-Antipeakon Initial Data
Hong Cai, Geng Chen, Hongwei Mei
We give a proof for the uniqueness of dissipative solution for the Camassa-Holm equation with some peakon-antipeakon initial data following Dafermos' earlier resut in [5] on the Hu…
Optimal Ergodic Control of Linear Stochastic Differential Equations with Quadratic Cost Functionals Having Indefinite Weights
Hongwei Mei, Qingmeng Wei, Jiongmin Yong
An optimal ergodic control problem (EC problem, for short) is investigated for a linear stochastic differential equation with quadratic cost functional. Constant nonhomogeneous ter…
Closed-loop Equilibrium for Time-Inconsistent McKean-Vlasov Controlled Problem
Hongwei Mei, Chao Zhu
The paper deals with a class of time-inconsistent control problems for McKean-Vlasov dynamics. By solving a backward time-inconsistent Hamilton-Jacobi-Bellman (HJB for short) equat…
Time-Inconsistent Problems for Controlled Markov Chains with Distribution-Dependent Costs: Equilibrium Solutions
Hongwei Mei, George Yin
This paper focuses on a class of continuous-time controlled Markov chains with time-inconsistent and distribution-dependent cost functional (in some appropriate sense). A new defin…
Time-inconsistent Risk-sensitive Equilibrium for Countable-stated Markov Decision Processes
Hongwei Mei
This paper is devoted to solving a time-inconsistent risk-sensitive control problem with parameter $\e$ and its limit case ($\e\rightarrow0^+$) for countable-stated Markov decision…
Equilibrium Strategies for Time-Inconsistent Stochastic Switching Systems
Hongwei Mei, Jiongmin Yong
An optimal control problem is considered for a stochastic differential equation containing a state-dependent regime switching, with a recursive cost functional. Due to the non-expo…