4 citations · 9 across the 5 of their papers we have counts for
7 papers
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…