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CORC

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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
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
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
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
收藏  |  浏览/下载：4/0  |  提交时间：2019/12/11
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
收藏  |  浏览/下载：3/0  |  提交时间：2019/12/16
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
收藏  |  浏览/下载：5/0  |  提交时间：2019/12/12
Recursive mean-variance portfolio choice problems with constrained portfolios 期刊论文
Chinese Control Conference, CCC, 2015, 卷号: 2015-September, 页码: 2446-2449
作者:  Lv, Siyu;  Wu, Zhen;  Zhuang, Yi
收藏  |  浏览/下载：8/0  |  提交时间：2019/12/17
A Linear-Quadratic Optimal Control Problem of Forward-Backward Stochastic Differential Equations With Partial Information 期刊论文
IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 2015, 卷号: 60, 期号: 11, 页码: 2904-2916
作者:  Wang, Guangchen;  Wu, Zhen;  Xiong, Jie
收藏  |  浏览/下载：11/0  |  提交时间：2019/12/17
STOCHASTIC RECURSIVE OPTIMAL CONTROL PROBLEM WITH TIME DELAY AND APPLICATIONS 期刊论文
MATHEMATICAL CONTROL AND RELATED FIELDS, 2015, 卷号: 5, 期号: 4, 页码: 859-888
作者:  Shi, Jingtao;  Xu, Juanjuan;  Zhang, Huanshui
收藏  |  浏览/下载：2/0  |  提交时间：2019/12/17
Recursive Mean-Variance Portfolio Choice Problems with Constrained Portfolios 会议论文
34th Chinese Control Conference (CCC), JUL 28-30, 2015
作者:  Lv Siyu;  Wu Zhen;  Zhuang Yi
收藏  |  浏览/下载：4/0  |  提交时间：2019/12/31

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