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中国科学院数学与系统科学研究院机构知识库
KMS Of Academy of mathematics and systems sciences, CAS
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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
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View/Download:113/0
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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
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View/Download:112/0
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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
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View/Download:84/0
  |  
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
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View/Download:104/0
  |  
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
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View/Download:97/0
  |  
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
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View/Download:78/0
  |  
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
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View/Download:101/0
  |  
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
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  |  
View/Download:86/0
  |  
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
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View/Download:145/0
  |  
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
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View/Download:83/0
  |  
Submit date:2018/07/30
Stochastic linear quadratic optimal control
Mean-field theory
Generalized algebraic Riccati equation