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Time-Inconsistent Stochastic LQ Problem with Regime Switching 期刊论文
JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY, 2020, 页码: 22
Authors:  Si, Binbin;  Ni, Yuan-Hua;  Zhang, Ji-Feng
Favorite  |  View/Download：88/0  |  Submit date：2020/09/23
Forward-backward stochastic difference equation  open-loop equilibrium control  regime switching  stochastic linear-quadratic problem  time inconsistency  
Equilibrium Solutions of Multiperiod Mean-Variance Portfolio Selection 期刊论文
IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 2020, 卷号: 65, 期号: 4, 页码: 1716-1723
Authors:  Ni, Yuan-Hua;  Li, Xun;  Zhang, Ji-Feng;  Krstic, Miroslav
Favorite  |  View/Download：90/0  |  Submit date：2020/05/24
Portfolios  Optimal control  Nickel  Covariance matrices  Optimization  Indexes  Multiperiod mean-variance portfolio selection  stochastic linear-quadratic (LQ) control  time inconsistency  
MIXED EQUILIBRIUM SOLUTION OF TIME-INCONSISTENT STOCHASTIC LINEAR-QUADRATIC PROBLEM 期刊论文
SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 2019, 卷号: 57, 期号: 1, 页码: 533-569
Authors:  Ni, Yuan-Hua;  Li, Xun;  Zhang, Ji-Feng;  Krstic, Miroslav
Favorite  |  View/Download：72/0  |  Submit date：2019/12/13
time inconsistency  stochastic linear-quadratic optimal control  mean-field optimal control  forward-backward stochastic difference equation  equilibrium solution  
Time-Inconsistent Mean-Field Stochastic LQ Problem: Open-Loop Time-Consistent Control 期刊论文
IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 2018, 卷号: 63, 期号: 9, 页码: 2771-2786
Authors:  Ni, Yuan-Hua;  Zhang, Ji-Feng;  Krstic, Miroslav
Favorite  |  View/Download：87/0  |  Submit date：2018/10/07
Forward-backward stochastic difference equation  mean-field theory  stochastic linear-quadratic optimal control  time inconsistency  
Time-Inconsistent Mean-Field Stochastic LQ Problem: Open-Loop Time-Consistent Control 期刊论文
IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 2018, 卷号: 63, 期号: 9, 页码: 2771-2786
Authors:  Ni, Yuan-Hua;  Zhang, Ji-Feng;  Krstic, Miroslav
Favorite  |  View/Download：81/0  |  Submit date：2018/10/07
Forward-backward stochastic difference equation  mean-field theory  stochastic linear-quadratic optimal control  time inconsistency  
Time-consistent investment strategy under partial information 期刊论文
INSURANCE MATHEMATICS & ECONOMICS, 2015, 卷号: 65, 页码: 187-197
Authors:  Li, Yongwu;  Qiao, Han;  Wang, Shouyang;  Zhang, Ling
Favorite  |  View/Download：65/0  |  Submit date：2018/07/30
Time inconsistency  Mean-variance  Partial information  Equilibrium strategy  Extended HJB system of equations