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期刊论文 [119]
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Linear quadratic mean field social control with common noise: A directly decoupling method?
期刊论文
AUTOMATICA, 2022, 卷号: 146, 页码: 14
作者:
Wang, Bing-Chang
;
Zhang, Huanshui
;
Zhang, Ji-Feng
收藏
  |  
浏览/下载:16/0
  |  
提交时间:2023/02/07
Mean field game
Optimal social cost
Stabilization
Finite agents
Common noise
FBSDE
Linearization of nonlinear Fokker-Planck equations and applications
期刊论文
JOURNAL OF DIFFERENTIAL EQUATIONS, 2022, 卷号: 322, 页码: 1-37
作者:
Ren, Panpan
;
Roeckner, Michael
;
Wang, Feng-Yu
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  |  
浏览/下载:8/0
  |  
提交时间:2023/02/07
Nonlinear Fokker-Planck equation
McKean-Vlasov stochastic differential equation
Diffusion process
Ergodicity
Feynman-Kac formula
Social Optima in Robust Mean Field LQG Control: From Finite to Infinite Horizon
期刊论文
IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 2021, 卷号: 66, 期号: 4, 页码: 1529-1544
作者:
Wang, Bing-Chang
;
Huang, Jianhui
;
Zhang, Ji-Feng
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  |  
浏览/下载:45/0
  |  
提交时间:2021/06/01
Mathematical model
Games
Robustness
Uncertainty
Optimal control
Stochastic processes
Differential equations
Forward-backward stochastic differential equation (FBSDE)
linear quadratic optimal control
mean field control
model uncertainty
social functional variation
AN EXPLICIT MULTISTEP SCHEME FOR MEAN-FIELD FORWARD-BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS
期刊论文
JOURNAL OF COMPUTATIONAL MATHEMATICS, 2021, 页码: 25
作者:
Sun, Yabing
;
Yang, Jie
;
Zhao, Weidong
;
Zhou, Tao
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  |  
浏览/下载:3/0
  |  
提交时间:2022/04/02
Mean-field forward backward stochastic differential equations
Explicit multistep scheme
Error estimates
Mean field linear-quadratic control: Uniform stabilization and social optimality
期刊论文
AUTOMATICA, 2020, 卷号: 121, 页码: 14
作者:
Wang, Bing-Chang
;
Zhang, Huanshui
;
Zhang, Ji-Feng
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  |  
浏览/下载:20/0
  |  
提交时间:2021/01/14
Mean field game
Variational analysis
Stabilization control
FBSDE
Riccati equation
Highly Accurate Numerical Schemes for Stochastic Optimal Control Via FBSDEs
期刊论文
NUMERICAL MATHEMATICS-THEORY METHODS AND APPLICATIONS, 2020, 卷号: 13, 期号: 2, 页码: 296-319
作者:
Fu, Yu
;
Zhao, Weidong
;
Zhou, Tao
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  |  
浏览/下载:24/0
  |  
提交时间:2020/05/24
Forward backward stochastic differential equations
stochastic optimal control
stochastic maximum principle
projected quasi-Newton methods
A UNIFIED PROBABILISTIC DISCRETIZATION SCHEME FOR FBSDEs: STABILITY, CONSISTENCY, AND CONVERGENCE ANALYSIS
期刊论文
SIAM JOURNAL ON NUMERICAL ANALYSIS, 2020, 卷号: 58, 期号: 4, 页码: 2351-2375
作者:
Yang, Jie
;
Zhao, Weidong
;
Zhou, Tao
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  |  
浏览/下载:4/0
  |  
提交时间:2021/01/14
forward backward stochastic differential equations
numerical schemes
stability
consistency
convergence analysis
Explicit Deferred Correction Methods for Second-Order Forward Backward Stochastic Differential Equations
期刊论文
JOURNAL OF SCIENTIFIC COMPUTING, 2019, 卷号: 79, 期号: 3, 页码: 1409-1432
作者:
Yang, Jie
;
Zhao, Weidong
;
Zhou, Tao
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  |  
浏览/下载:49/0
  |  
提交时间:2020/01/10
Deferred correction method
Second-order forward backward stochastic differential equations
Euler scheme
High-order rate of convergence
A PARTIALLY OBSERVED NON-ZERO SUM DIFFERENTIAL GAME OF FORWARD-BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS AND ITS APPLICATION IN FINANCE
期刊论文
MATHEMATICAL CONTROL AND RELATED FIELDS, 2019, 卷号: 9, 期号: 2, 页码: 257-276
作者:
Xiong, Jie
;
Zhang, Shuaiqi
;
Zhuang, Yi
收藏
  |  
浏览/下载:10/0
  |  
提交时间:2019/12/11
Forward-backward stochastic differential equation
stochastic
differential game
maximum principle
equilibrium point
stochastic
filtering
An Open-Loop Stackelberg Strategy for the Linear Quadratic Mean-Field Stochastic Differential Game
期刊论文
IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 2019, 卷号: 64, 期号: 1, 页码: 97-110
作者:
Lin, Yaning
;
Jiang, Xiushan
;
Zhang, Weihai
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  |  
浏览/下载:17/0
  |  
提交时间:2019/12/11
Mean-field forward-backward stochastic differential equation (MF-FBSDE)
mean-field stochastic linear-quadratic (LQ) optimal control
mean-field
stochastic systems
Riccati equations
Stackelberg strategy
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