An asymmetric information mean‐field type linear‐quadratic stochastic Stackelberg differential game with one leader and two followers
G Wang, Y Wang, S Zhang - Optimal Control Applications and …, 2020 - Wiley Online Library
This paper is concerned with an asymmetric information linear‐quadratic (AILQ) stochastic
Stackelberg differential game with one leader and two followers, where the game system is …
Stackelberg differential game with one leader and two followers, where the game system is …
Price Modeling of Eucalyptus Wood under Different Silvicultural Management for Real Options Approach
Choosing the ideal number of rotations of planted forests under a silvicultural management
regime results in uncertainties in the cash flows of forest investment projects. We verified if …
regime results in uncertainties in the cash flows of forest investment projects. We verified if …
Value iteration algorithm for continuous-time linear quadratic stochastic optimal control problems
G Wang, H Zhang - Science China Information Sciences, 2024 - Springer
In this study, we investigate a continuous-time infinite-horizon linear quadratic stochastic
optimal control problem with multiplicative noise in control and state variables. Using the …
optimal control problem with multiplicative noise in control and state variables. Using the …
A two‐layer stochastic differential investment and reinsurance game with default risk under the bi‐fractional Brownian motion environment
W Hao, Z Qiu - Mathematical Methods in the Applied Sciences, 2024 - Wiley Online Library
This paper is concerned with the investment and reinsurance problem between two
insurance companies and a reinsurance company by constructing a two‐layer stochastic …
insurance companies and a reinsurance company by constructing a two‐layer stochastic …
Two-person zero-sum stochastic linear quadratic control problems with Markov chains and fractional Brownian motion in infinite horizon
C Liu, H Fan, Y Li - arXiv preprint arXiv:2412.16538, 2024 - arxiv.org
This paper addresses a class of two-person zero-sum stochastic differential equations,
which encompass Markov chains and fractional Brownian motion, and satisfy some …
which encompass Markov chains and fractional Brownian motion, and satisfy some …
An optimal control problem for a linear SPDE driven by a multiplicative multifractional Brownian motion
W Grecksch, H Lisei - Stochastics and Dynamics, 2022 - World Scientific
In this paper, we study the existence of the solution of a linear SPDE driven by a
multiplicative multifractional Brownian motion. Moreover, we study an optimal control …
multiplicative multifractional Brownian motion. Moreover, we study an optimal control …