3 citations · 3 across the 4 of their papers we have counts for
7 papers
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…