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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
Authors:  Wang, Bing-Chang;  Zhang, Huanshui;  Zhang, Ji-Feng
Favorite  |  View/Download：29/0  |  Submit date：2023/02/07
Mean field game  Optimal social cost  Stabilization  Finite agents  Common noise  FBSDE  
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
Authors:  Wang, Bing-Chang;  Huang, Jianhui;  Zhang, Ji-Feng
Favorite  |  View/Download：108/0  |  Submit date：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  
Mean field linear-quadratic control: Uniform stabilization and social optimality 期刊论文
AUTOMATICA, 2020, 卷号: 121, 页码: 14
Authors:  Wang, Bing-Chang;  Zhang, Huanshui;  Zhang, Ji-Feng
Favorite  |  View/Download：92/0  |  Submit date：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
Authors:  Fu, Yu;  Zhao, Weidong;  Zhou, Tao
Favorite  |  View/Download：115/0  |  Submit date：2020/05/24
Forward backward stochastic differential equations  stochastic optimal control  stochastic maximum principle  projected quasi-Newton methods  
Optimal investment for an insurer: The martingale approach 期刊论文
INSURANCE MATHEMATICS & ECONOMICS, 2007, 卷号: 40, 期号: 2, 页码: 322-334
Authors:  Wang, Zengwu;  Xia, Jianming;  Zhang, Lihong
Favorite  |  View/Download：99/0  |  Submit date：2018/07/30
mean-variance efficient portfolio  martingale approach  forward-backward stochastic differential equation (FBSDE)  insurer