Zobrazeno 1 - 10
of 535
pro vyhledávání: '"Wang Tianxiao"'
Autor:
Gong, Jiayin, Wang, Tianxiao
This paper is concerned with a unified treatment of linear quadratic control problem for stochastic Volterra integral equations (SVIEs), motivated by the various approaches and scattered results in the existing literature. A novel class of optimal ca
Externí odkaz:
http://arxiv.org/abs/2406.11009
Autor:
Wang, Tianxiao, Zheng, Mengliang
In this paper, the notion of singular backward stochastic Volterra integral equations (singular BSVIEs for short) in infinite dimensional space is introduced, and the corresponding well-posedness is carefully established. A class of singularity condi
Externí odkaz:
http://arxiv.org/abs/2312.04094
In this paper, we solve an open problem and obtain a general maximum principle for a stochastic optimal control problem where the control domain is an arbitrary non-empty set and all the coefficients (especially the diffusion term and the terminal co
Externí odkaz:
http://arxiv.org/abs/2302.03339
In this paper, a systematic investigation is carried out for the general solvability of multi-dimensional backward stochastic Volterra integral equations (BSVIEs) with the generators being super-linear in the adjustment variable $Z$. Two major situat
Externí odkaz:
http://arxiv.org/abs/2211.04078
Autor:
Wang, Tianxiao, Yong, Jiongmin
Spike variation technique plays a crucial role in deriving Pontryagin's type maximum principle of optimal controls for differential equations of several types, including ordinary differential equations (ODEs), partial differential equations (PDEs), a
Externí odkaz:
http://arxiv.org/abs/2205.13486
Linear-quadratic stochastic Volterra controls II: Optimal strategies and Riccati--Volterra equations
Autor:
Hamaguchi, Yushi, Wang, Tianxiao
In this paper, we study linear-quadratic control problems for stochastic Volterra integral equations with singular and non-convolution-type coefficients. The weighting matrices in the cost functional are not assumed to be non-negative definite. From
Externí odkaz:
http://arxiv.org/abs/2204.10239
Autor:
Hamaguchi, Yushi, Wang, Tianxiao
In this paper, we formulate and investigate the notion of causal feedback strategies arising in linear-quadratic control problems for stochastic Volterra integral equations (SVIEs) with singular and non-convolution-type coefficients. We show that the
Externí odkaz:
http://arxiv.org/abs/2204.08333
Autor:
Wang, Tianxiao, Zheng, Mengliang
Publikováno v:
In Journal of Differential Equations 25 October 2024 407:1-56
Autor:
Hamaguchi, Yushi, Wang, Tianxiao
Publikováno v:
In Stochastic Processes and their Applications October 2024 176
Autor:
Lü, Qi, Wang, Tianxiao
It is a longstanding unsolved problem to characterize the optimal feedback controls for general linear quadratic optimal control problem of stochastic evolution equation with random coefficients. A solution to this problem is given in [21] under some
Externí odkaz:
http://arxiv.org/abs/2202.10212