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山东大学 [35]
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期刊论文 [31]
会议论文 [4]
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2019 [2]
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专题:山东大学
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The stochastic maximum principle in singular optimal control with recursive utilities
期刊论文
JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS, 2019, 卷号: 471, 期号: 1-2, 页码: 378-391
作者:
Ji, Shaolin
;
Xue, Xiaole
收藏
  |  
浏览/下载:4/0
  |  
提交时间:2019/12/11
Backward stochastic differential equations
Nonconvex control domain
Singular control
Stochastic maximum principle
Stochastic recursive
optimal control
Variational equation
A second-order maximum principle for singular optimal controls with recursive utilities of stochastic delay systems
期刊论文
European Journal of Control, 2019, 卷号: 50, 页码: 96-106
作者:
Hao, Tao
;
Meng, Qingxin
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  |  
浏览/下载:2/0
  |  
提交时间:2019/12/11
The stochastic maximum principle in singular optimal control with recursive utilities
期刊论文
Journal of Mathematical Analysis and Applications, 2018
作者:
Ji S.
;
Xue X.
收藏
  |  
浏览/下载:4/0
  |  
提交时间:2019/12/11
Backward stochastic differential equations
Nonconvex control domain
Singular control
Stochastic maximum principle
Stochastic recursive optimal control
Variational equation
A GLOBAL STOCHASTIC MAXIMUM PRINCIPLE FOR FULLY COUPLED FORWARD-BACKWARD STOCHASTIC SYSTEMS
期刊论文
SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 2018, 卷号: 56, 期号: 6, 页码: 4309-4335
作者:
Hu, Mingshang
;
Ji, Shaolin
;
Xue, Xiaole
收藏
  |  
浏览/下载:9/0
  |  
提交时间:2019/12/11
forward-backward stochastic differential equations
nonconvex control
domain
stochastic recursive optimal control
maximum principle
spike
variation
A sufficient stochastic maximum principle for a kind of recursive optimal control problem with obstacle constraint
期刊论文
SYSTEMS & CONTROL LETTERS, 2018, 卷号: 114, 页码: 27-30
作者:
Huang, Jianhui
;
Wang, Haiyang
;
Wu, Zhen
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  |  
浏览/下载:4/0
  |  
提交时间:2019/12/11
Maximum principle
Reflected backward stochastic differential equations
Recursive optimal control problems
Mixed control problems
Clarke's
generalized gradient
TIME-INCONSISTENT RECURSIVE STOCHASTIC OPTIMAL CONTROL PROBLEMS
期刊论文
SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 2017, 卷号: 55, 期号: 6, 页码: 4156-4201
作者:
Wei, Qingmeng
;
Yong, Jiongmin
;
Yu, Zhiyong
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  |  
浏览/下载:3/0
  |  
提交时间:2019/12/16
time-inconsistency
equilibrium strategy
stochastic optimal control
stochastic differential games
equilibrium Hamilton-Jacobi-Bellman
equation
Dynamic programming principle for stochastic recursive optimal control problem driven by a G-Brownian motion
期刊论文
STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2017, 卷号: 127, 期号: 1, 页码: 107-134
作者:
Hu, Mingshang
;
ji, Shaolin
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  |  
浏览/下载:3/0
  |  
提交时间:2019/12/16
G-expectation
Backward stochastic differential equations
Stochastic
recursive optimal control
Robust control
Dynamic programming principle
CONNECTION BETWEEN MP AND DPP FOR STOCHASTIC RECURSIVE OPTIMAL CONTROL PROBLEMS: VISCOSITY SOLUTION FRAMEWORK IN THE GENERAL CASE
期刊论文
SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 2017, 卷号: 55, 期号: 5, 页码: 3258-3294
作者:
Nie, Tianyang
;
Shi, Jingtao
;
Wu, Zhen
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  |  
浏览/下载:5/0
  |  
提交时间:2019/12/12
stochastic recursive optimal control
backward stochastic differential
equation
maximum principle
dynamic programming principle
subjets
superjets
viscosity solution
The near-optimal maximum principle of impulse control for stochastic recursive system
期刊论文
中国科学. 信息科学, 2016, 卷号: 59, 期号: 11
作者:
Huang, Jianhui
;
Zhang, Detao
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  |  
浏览/下载:2/0
  |  
提交时间:2019/12/16
Ekeland's principle
FBSDE
impulse control
maximum principle
near
optimality
The near-optimal maximum principle of impulse control for stochastic recursive system
期刊论文
Science China(Information Sciences), 2016, 期号: 11, 页码: 92-105
作者:
Jianhui HUANG
;
Detao ZHANG
收藏
  |  
浏览/下载:1/0
  |  
提交时间:2019/12/16
Ekeland\'s principle
FBSDE
impulse control
maximum principle
near optimality
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