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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:185/0  |  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:196/0  |  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:126/0  |  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:144/0  |  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:137/0  |  Submit date:2018/10/07
Forward-backward stochastic difference equation  mean-field theory  stochastic linear-quadratic optimal control  time inconsistency  
DELAYED OPTIMAL CONTROL OF STOCHASTIC LQ PROBLEM 期刊论文
SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 2017, 卷号: 55, 期号: 5, 页码: 3370-3407
Authors:  Ni, Yuan-Hua;  Yiu, Ka-Fai Cedric;  Zhang, Huanshui;  Zhang, Ji-Feng
Favorite  |  View/Download:124/0  |  Submit date:2018/07/25
stochastic linear-quadratic optimal control  transmission delay  forward-backward stochastic difference equation  convexity  
Indefinite Mean-Field Stochastic Linear-Quadratic Optimal Control: From Finite Horizon to Infinite Horizon 期刊论文
IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 2016, 卷号: 61, 期号: 11, 页码: 3269-3284
Authors:  Ni, Yuan-Hua;  Li, Xun;  Zhang, Ji-Feng
Favorite  |  View/Download:163/0  |  Submit date:2018/07/30
Indefinite linear-quadratic optimal control  mean-field theory  stochastic system  
Mean-field stochastic linear-quadratic optimal control with Markov jump parameters 期刊论文
SYSTEMS & CONTROL LETTERS, 2016, 卷号: 93, 页码: 69-76
Authors:  Ni, Yuan-Hua;  Li, Xun;  Zhang, Ji-Feng
Favorite  |  View/Download:151/0  |  Submit date:2018/07/30
Mean-field  Markov jump  Stochastic control  
A Probabilistic Method for Estimating the Sharing of Identity by Descent for Populations with Migration 期刊论文
IEEE-ACM TRANSACTIONS ON COMPUTATIONAL BIOLOGY AND BIOINFORMATICS, 2016, 卷号: 13, 期号: 2, 页码: 281-290
Authors:  Ni, Xumin;  Guo, Wei;  Yuan, Kai;  Yang, Xiong;  Ma, Zhiming;  Xu, Shuhua;  Zhang, Shihua
Favorite  |  View/Download:218/0  |  Submit date:2018/07/30
Population genetics  identity by descent  probabilistic method  Markov process  
Discrete-time mean-field Stochastic linear-quadratic optimal control problems, II: Infinite horizon case 期刊论文
AUTOMATICA, 2015, 卷号: 57, 页码: 65-77
Authors:  Ni, Yuan-Hua;  Elliott, Robert;  Li, Xun
Favorite  |  View/Download:144/0  |  Submit date:2018/07/30
Stochastic linear quadratic optimal control  Mean-field theory  Generalized algebraic Riccati equation