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山东大学 [13]
清华大学 [1]
北京航空航天大学 [1]
山东师范大学 [1]
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期刊论文 [12]
会议论文 [4]
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Partially observed time-inconsistent stochastic linear-quadratic control with random jumps
期刊论文
OPTIMAL CONTROL APPLICATIONS & METHODS, 2018, 卷号: 39, 期号: 1, 页码: 230-247
作者:
Wu, Zhen
;
Zhuang, Yi
收藏
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浏览/下载：3/0
|
提交时间：2019/12/11
forward backward stochastic differential equation
linear quadratic
optimal control
partial information
random jump
time inconsistency
Leader-follower stochastic differential game with asymmetric information and applications
期刊论文
AUTOMATICA, 2016, 卷号: 63, 页码: 60-73
作者:
Shi, Jingtao
;
Wang, Guangchen
;
Xiong, Jie
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|
浏览/下载：2/0
|
提交时间：2019/12/16
Leader-follower stochastic differential game
Asymmetric information
Filtering
Conditional mean-field forward-backward stochastic
differential equation
Partial information linear-quadratic control
Open-loop Stackelberg equilibrium
Backward Mean-Field Linear-Quadratic-Gaussian (LQG) Games: Full and Partial Information
期刊论文
IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 2016, 卷号: 61, 期号: 12, 页码: 3784-3796
作者:
Huang, Jianhui
;
Wang, Shujun
;
Wu, Zhen
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浏览/下载：3/0
|
提交时间：2019/12/16
BSDE
decentralized control
full information
large-population system
mean-field LQG games
partial information
epsilon-Nash equilibrium
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
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|
浏览/下载：11/0
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提交时间：2019/12/17
Closed-form solution
correlated state and observation noises
forward-backward stochastic differential equation (FBSDE)
linear-quadratic optimal control
partial information
recursive utility
A new optimal portfolio selection model with owner-occupied housing
期刊论文
APPLIED MATHEMATICS AND COMPUTATION, 2015, 卷号: 270, 页码: 714-723
作者:
Hui, Eddie C. M.
;
Wang, Guangchen
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浏览/下载：6/0
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提交时间：2019/12/17
Portfolio selection
Owner-occupied housing
Linear-quadratic optimal
control
Poisson process
Partial information
Optimal control problem of backward stochastic differential delay equation under partial information
期刊论文
SYSTEMS & CONTROL LETTERS, 2015, 卷号: 82, 页码: 71-78
作者:
Wu, Shuang
;
Wang, Guangchen
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浏览/下载：3/0
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提交时间：2019/12/17
Backward stochastic differential delay equation
Time-advanced
stochastic differential equation
Maximum principle
Forward-backward
stochastic differential filtering equation
Nonlinear filtering
Linear
quadratic optimal control
Stochastic Maximum Principle for Mean-Field Type Optimal Control Under Partial Information
期刊论文
IEEE Transactions on Automatic Control, 2014, 卷号: 59, 期号: 2, 页码: 522-528
作者:
Wang, G.
;
Zhang, C.
;
Zhang, W.
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浏览/下载：11/0
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提交时间：2019/12/17
Conditional density
Girsanov\'s theorem
linear-quadratic control
maximum principle
mean-field type
nonlinear filtering
A Separation Theorem for Stochastic Singular Linear Quadratic Control Problem with Partial Information
期刊论文
ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES, 2013, 卷号: 29, 期号: 2, 页码: 303-314
作者:
Ma, Hong-ji
;
Hou, Ting
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浏览/下载：2/0
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提交时间：2019/12/23
singular optimal control
Kalman-Bucy filtering
separation theorem
linear systems
generalized differential Riccati equation
An optimal control problem of backward stochastic differential equations with partial information
期刊论文
Chinese Control Conference, CCC, 2013, 页码: 1592-1595
作者:
Wang, Guangchen
;
Xiao, Hua
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浏览/下载：1/0
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提交时间：2019/12/23
Backward stochastic differential equation
filter
linear-quadratic optimal control
partial information
A Separation Theorem for Stochastic Singular Linear Quadratic Control Problem with Partial Information
期刊论文
ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES, 2013, 卷号: 29, 页码: 303-314
作者:
Ma, Hong-ji
;
Hou, Ting
收藏
|
浏览/下载：3/0
|
提交时间：2020/01/06
singular optimal control
Kalman-Bucy filtering
separation theorem
linear systems
generalized differential Riccati equation
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