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A Mean-Field Game for a Forward-Backward Stochastic System With Partial Observation and Common Noise
期刊论文
IEEE/CAA Journal of Automatica Sinica, 2024, 卷号: 11, 期号: 3, 页码: 746-759
作者:
Pengyan Huang
;
Guangchen Wang
;
Shujun Wang
;
Hua Xiao
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浏览/下载：0/0
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提交时间：2024/02/19
Decentralized control strategy
ϵ
-Nash equilibrium
forward-backward stochastic system
mean-field game
partial observation
Time-Inconsistent Stochastic LQ Problem with Regime Switching
期刊论文
JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY, 2020, 页码: 22
作者:
Si, Binbin
;
Ni, Yuan-Hua
;
Zhang, Ji-Feng
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浏览/下载：13/0
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提交时间：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
作者:
Ni, Yuan-Hua
;
Li, Xun
;
Zhang, Ji-Feng
;
Krstic, Miroslav
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浏览/下载：13/0
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提交时间：2020/05/24
Portfolios
Optimal control
Nickel
Covariance matrices
Optimization
Indexes
Multiperiod mean-variance portfolio selection
stochastic linear-quadratic (LQ) control
time inconsistency
Mean-variance hedging with basis risk
期刊论文
APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY, 2019, 卷号: 35, 期号: 3, 页码: 704-716
作者:
Xue, Xiaole
;
Zhang, Jingong
;
Weng, Chengguo
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浏览/下载：4/0
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提交时间：2019/12/11
basis risk
BSDE
Malliavin derivative
mean-variance analysis
optimal
hedging
stochastic LQ control
Optimal Stabilization Control for Discrete-Time Mean-Field Stochastic Systems
期刊论文
IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 2019, 卷号: 64, 期号: 3, 页码: 1125-1136
作者:
Zhang, Huanshui
;
Qi, Qingyuan
;
Fu, Minyue
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浏览/下载：16/0
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提交时间：2019/12/11
Algebraic Riccati equation (ARE)
mean-field LQ (linear quadratic)
control
optimal controller
stabilizing controller
An Open-Loop Stackelberg Strategy for the Linear Quadratic Mean-Field Stochastic Differential Game
期刊论文
IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 2019, 卷号: 64, 期号: 1, 页码: 97-110
作者:
Lin, Yaning
;
Jiang, Xiushan
;
Zhang, Weihai
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浏览/下载：17/0
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提交时间：2019/12/11
Mean-field forward-backward stochastic differential equation (MF-FBSDE)
mean-field stochastic linear-quadratic (LQ) optimal control
mean-field
stochastic systems
Riccati equations
Stackelberg strategy
Pareto optimal strategy for linear stochastic systems with H∞ constraint in finite horizon
期刊论文
Information Sciences, 2019
作者:
Jiang X.
;
Tian S.
;
Zhang T.
;
Zhang W.
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浏览/下载：8/0
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提交时间：2019/12/11
Cross-coupled generalized differential Riccati equations
Finite horizon
H∞ constraint
Pareto game
Stochastic indefinite LQ control
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
作者:
Ni, Yuan-Hua
;
Zhang, Ji-Feng
;
Krstic, Miroslav
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浏览/下载：26/0
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提交时间：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
作者:
Ni, Yuan-Hua
;
Zhang, Ji-Feng
;
Krstic, Miroslav
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浏览/下载：16/0
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提交时间：2018/10/07
Forward-backward stochastic difference equation
mean-field theory
stochastic linear-quadratic optimal control
time inconsistency
AFM Tip Position Control in situ for Effective Nano-Manipulation
期刊论文
IEEE/ASME Transactions on Mechatronics, 2018, 卷号: 23, 期号: 6, 页码: 2825-2836
作者:
Wang ZD(王志东)
;
Liu LQ(刘连庆)
;
Wang YC(王越超)
;
Xi N(席宁)
;
Yuan S(袁帅)
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浏览/下载：14/0
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提交时间：2018/09/30
Afm Based Nano-manipulation
Afm Tip Localization
Stochastic Calibration
Kalman Filter
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