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Linear-quadratic optimal control problems for mean-field stochastic differential equations --- time-consistent solutions

Transactions of the American Mathematical Society, 2017-08, Vol.369 (8), p.5467-5523

YONG, JIONGMIN

2017

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OPTIMALITY VARIATIONAL PRINCIPLE FOR CONTROLLED FORWARD-BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS WITH MIXED INITIAL-TERMINAL CONDITIONS

SIAM journal on control and optimization, 2010, Vol.48 (6), p.4119-4156

Yong, Jiongmin

2010

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Stochastic Linear Quadratic Optimal Control Problems in Infinite Horizon

Applied mathematics & optimization, 2018-08, Vol.78 (1), p.145-183

2018

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Backward stochastic Volterra integral equations—Representation of adapted solutions

Stochastic processes and their applications, 2019-12, Vol.129 (12), p.4926-4964

2019

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Forward-backward stochastic differential equations with mixed initial-terminal conditions

Transactions of the American Mathematical Society, 2010-02, Vol.362 (2), p.1047-1096

YONG, JIONGMIN

2010

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Time-inconsistent stochastic optimal control problems and backward stochastic volterra integral equations

ESAIM. Control, optimisation and calculus of variations, 2021, Vol.27, p.22

2021

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Recursive Utility Processes, Dynamic Risk Measures and Quadratic Backward Stochastic Volterra Integral Equations

Applied mathematics & optimization, 2021-08, Vol.84 (1), p.145-190

2021

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A Sample-Wise Data Driven Control Solver for the Stochastic Optimal Control Problem with Unknown Model Parameters

Communications in computational physics, 2023-04, Vol.33 (4), p.1132-1163

2023

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Optimization of the principal eigenvalue for elliptic operators

Calculus of variations and partial differential equations, 2021-08, Vol.60 (4), Article 139

2021

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Equilibrium strategies for time-inconsistent stochastic switching systems

ESAIM. Control, optimisation and calculus of variations, 2019, Vol.25, p.64

2019

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Turnpike Properties for Stochastic Linear-Quadratic Optimal Control Problems

Chinese annals of mathematics. Serie B, 2022-11, Vol.43 (6), p.999-1022

2022

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Linear-Quadratic Optimal Control Problems for Mean-Field Stochastic Differential Equations

SIAM journal on control and optimization, 2013-01, Vol.51 (4), p.2809-2838

Yong, Jiongmin

2013

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Well-posedness and regularity of backward stochastic Volterra integral equations

Probability theory and related fields, 2008-09, Vol.142 (1-2), p.21-77

Yong, Jiongmin

2008

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Stochastic Linear-Quadratic Optimal Control Theory: Differential Games and Mean-Field Problems

1st Edition 2020, 2020

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A Stochastic Gradient Descent Approach for Stochastic Optimal Control

East Asian journal on applied mathematics, 2020-11, Vol.10 (4), p.635-658

2020

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Comparison theorems for some backward stochastic Volterra integral equations

Stochastic processes and their applications, 2015-05, Vol.125 (5), p.1756-1798

2015

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Linear quadratic stochastic optimal control problems with operator coefficients: open-loop solutions

ESAIM. Control, optimisation and calculus of variations, 2019, Vol.25, p.17

2019

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Stochastic Linear-Quadratic Optimal Control Theory: Open-Loop and Closed-Loop Solutions

1st ed. 2020., 2020

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Forward-Backward Stochastic Differential Equations and their Applications

2007

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Path dependent Feynman–Kac formula for forward backward stochastic Volterra integral equations

Annales de l'I.H.P. Probabilités et statistiques, 2022-05, Vol.58 (2)

2022

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Linear quadratic stochastic two-person zero-sum differential games in an infinite horizon

ESAIM. Control, optimisation and calculus of variations, 2016-07, Vol.22 (3), p.743-769

2016

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Erratum to: Turnpike Properties for Stochastic Linear-Quadratic Optimal Control Problems

Chinese annals of mathematics. Serie B, 2023, Vol.44 (1), p.163-163

2023

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Backward stochastic Volterra integral equations and some related problems

Stochastic processes and their applications, 2006-05, Vol.116 (5), p.779-795

Yong, Jiongmin

2006

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Data informed solution estimation for forward-backward stochastic differential equations

Analysis and applications, 2021-05, Vol.19 (3), p.439-464

2021

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Stochastic optimal control — A concise introduction

Mathematical control and related fields, 2022-12, Vol.12 (4), p.1039-1136

Yong, Jiongmin

2022

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Linear-quadratic optimal control problems for mean-field stochastic differential equations --- time-consistent solutions

OPTIMALITY VARIATIONAL PRINCIPLE FOR CONTROLLED FORWARD-BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS WITH MIXED INITIAL-TERMINAL CONDITIONS

Stochastic Linear Quadratic Optimal Control Problems in Infinite Horizon

Backward stochastic Volterra integral equations—Representation of adapted solutions

Forward-backward stochastic differential equations with mixed initial-terminal conditions

Time-inconsistent stochastic optimal control problems and backward stochastic volterra integral equations

Recursive Utility Processes, Dynamic Risk Measures and Quadratic Backward Stochastic Volterra Integral Equations

A Sample-Wise Data Driven Control Solver for the Stochastic Optimal Control Problem with Unknown Model Parameters

Optimization of the principal eigenvalue for elliptic operators

Equilibrium strategies for time-inconsistent stochastic switching systems

Turnpike Properties for Stochastic Linear-Quadratic Optimal Control Problems

Linear-Quadratic Optimal Control Problems for Mean-Field Stochastic Differential Equations

Well-posedness and regularity of backward stochastic Volterra integral equations

Stochastic Linear-Quadratic Optimal Control Theory: Differential Games and Mean-Field Problems

A Stochastic Gradient Descent Approach for Stochastic Optimal Control

Comparison theorems for some backward stochastic Volterra integral equations

Linear quadratic stochastic optimal control problems with operator coefficients: open-loop solutions

Stochastic Linear-Quadratic Optimal Control Theory: Open-Loop and Closed-Loop Solutions

Forward-Backward Stochastic Differential Equations and their Applications

Path dependent Feynman–Kac formula for forward backward stochastic Volterra integral equations

Linear quadratic stochastic two-person zero-sum differential games in an infinite horizon

Erratum to: Turnpike Properties for Stochastic Linear-Quadratic Optimal Control Problems

Backward stochastic Volterra integral equations and some related problems

Data informed solution estimation for forward-backward stochastic differential equations

Stochastic optimal control — A concise introduction

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