4 citations · 8 across the 9 of their papers we have counts for
9 papers
The perturbation method applied to a robust optimization problem with constraint
Peng Luo, Alexander Schied, Xiaole Xue
The present paper studies a kind of robust optimization problems with constraint. The problem is formulated through Backward Stochastic Differential Equations (BSDEs) with quadrati…
A BSDE approach to the asymmetric risk-sensitive optimization and its applications
Mingshang Hu, Shaolin Ji, Rundong Xu +1
This paper is devoted to proposing a new asymmetric risk-sensitive criterion involving different risk attitudes toward varying risk sources. The criterion can only be defined throu…
A central bank strategy for defending a currency peg
Eyal Neuman, Alexander Schied, Chengguo Weng +1
We consider a central bank strategy for maintaining a two-sided currency target zone, in which an exchange rate of two currencies is forced to stay between two thresholds. To keep…
Linear quadratic problems for fully coupled forward-backward stochastic control systems
Mingshang Hu, Shaolin Ji, Xiaole Xue
This paper is concerned with optimal control of stochastic fully coupled forward-backward linear quadratic (FBLQ) problems with indefinite control weight costs. In order to obtain…
A note on the global stochastic maximum principle for fully coupled forward-backward stochastic systems
Mingshang Hu, Shaolin Ji, Xiaole Xue
Hu et. al 2018 studied a stochastic optimal control problem for fully coupled forward-backward stochastic control systems with a nonempty control domain. By assuming a weakly coupl…
The existence and uniqueness of viscosity solution to a kind of Hamilton-Jacobi-Bellman equations
Mingshang Hu, Shaolin Ji, Xiaole Xue
In this paper, we study the existence and uniqueness of viscosity solutions to a kind of Hamilton-Jacobi-Bellman (HJB) equations combined with algebra equations. This HJB equation…
Stochastic maximum principle, dynamic programming principle, and their relationship for fully coupled forward-backward stochastic control systems
Mingshang Hu, Shaolin Ji, Xiaole Xue
Within the framework of viscosity solution, we study the relationship between the maximum principle (MP) in [9] and the dynamic programming principle (DPP) in [10] for a fully coup…
A global stochastic maximum principle for fully coupled forward-backward stochastic systems
Mingshang Hu, Shaolin Ji, Xiaole Xue
We study a stochastic optimal control problem for fully coupled forward-backward stochastic control systems with a nonempty control domain. For our problem, the first-order and sec…
Stochastic Linear Quadratic Optimal Control with General Control Domain
Shaolin Ji, Xiaole Xue
This paper considers the stochastic linear quadratic optimal control problem in which the control domain is nonconvex. By the functional analysis and convex perturbation methods, w…