2025
Policy Iteration Reinforcement Learning Method for Continuous-Time Linear-Quadratic Mean-Field Control Problems.
IEEE Trans. Autom. Control., April, 2025
Stochastic Linear Quadratic Optimal Control Problems with Regime-Switching Jumps in Infinite Horizon.
SIAM J. Control. Optim., 2025
Infinite Time Horizon Stochastic Recursive Control Problems with Jumps: Dynamic Programming and Stochastic Verification Theorems.
SIAM J. Control. Optim., 2025
Partially observed linear quadratic stochastic optimal control problem in infinite horizon: A data-driven approach.
Syst. Control. Lett., 2025
Two system transformation data-driven algorithms for linear quadratic mean-field games.
Eur. J. Control, 2025
Decentralized linear-quadratic control and stabilization for networked control systems with d-step delay.
Autom., 2025
Optimal consumption under a drawdown constraint over a finite horizon.
Autom., 2025
2024
Optimal Consumption with Loss Aversion and Reference to Past Spending Maximum.
SIAM J. Financial Math., March, 2024
Decentralized control for optimal LQ problems in stochastic systems with unknown uncertainties.
J. Frankl. Inst., 2024
Solving optimal predictor-feedback control using approximate dynamic programming.
Autom., 2024
Decentralized Optimal Control for Linear Stochastic Systems with Control Signals subject to Unknown Noises.
Proceedings of the 18th IEEE International Conference on Control & Automation, 2024
2023
Mean-variance portfolio selection under no-shorting rules: A BSDE approach.
Syst. Control. Lett., July, 2023
Linear quadratic optimal control for time-delay stochastic system with partial information.
Int. J. Syst. Sci., July, 2023
Stochastic Linear-Quadratic Optimal Control Problems with Random Coefficients and Markovian Regime Switching System.
SIAM J. Control. Optim., April, 2023
Deterministic optimal control for discrete-time systems with multiplicative noises and random coefficients.
Autom., April, 2023
Discrete-Time Mean-Variance Strategy Based on Reinforcement Learning.
CoRR, 2023
A distributed stochastic approximation algorithm for stochastic LQ control with unknown uncertainty.
Autom., 2023
2022
Stochastic Linear Quadratic Optimal Control Problem: A Reinforcement Learning Method.
IEEE Trans. Autom. Control., 2022
Distributed Q-Learning for Stochastic LQ Control with Unknown Uncertainty.
CoRR, 2022
2021
A discrete-time mean-field stochastic linear-quadratic optimal control problem with financial application.
Int. J. Control, 2021
Optimal control for discrete-time NCSs with input delay and Markovian packet losses: Hold-input case.
Autom., 2021
Game Theory Based Power Allocation Method for Inter-satellite Links in LEO/MEO Two-layered Satellite Networks.
Proceedings of the 10th IEEE/CIC International Conference on Communications in China, 2021
2020
Equilibrium Solutions of Multiperiod Mean-Variance Portfolio Selection.
IEEE Trans. Autom. Control., 2020
An Optimal Investment Problem with Nonsmooth and Nonconcave Utility over a Finite Time Horizon.
SIAM J. Financial Math., 2020
A stochastic maximum principle for partially observed stochastic control systems with delay.
Syst. Control. Lett., 2020
Better than optimal mean-variance portfolio policy in multi-period asset-liability management problem.
Oper. Res. Lett., 2020
Multi-period asset-liability management with cash flows and probability constraints: A mean-field formulation approach.
J. Oper. Res. Soc., 2020
Optimal control and stablilization for linear continuous-time mean-field systems with delay.
CoRR, 2020
On continuous-time constrained stochastic linear-quadratic control.
Autom., 2020
Indefinite mean-field type linear-quadratic stochastic optimal control problems.
Autom., 2020
2019
Mixed Equilibrium Solution of Time-Inconsistent Stochastic Linear-Quadratic Problem.
SIAM J. Control. Optim., 2019
Mean field game for linear-quadratic stochastic recursive systems.
Syst. Control. Lett., 2019
2018
A mean-field formulation for multi-period asset-liability mean-variance portfolio selection with an uncertain exit time.
J. Oper. Res. Soc., 2018
Optimal Control of Constrained Stochastic Linear-Quadratic Model with Applications.
CoRR, 2018
2017
Characterizations of closed-loop equilibrium solutions for dynamic mean-variance optimization problems.
Syst. Control. Lett., 2017
Better than pre-committed optimal mean-variance policy in a jump diffusion market.
Math. Methods Oper. Res., 2017
Time consistent behavioral portfolio policy for dynamic mean-variance formulation.
J. Oper. Res. Soc., 2017
Real options approach for fashionable and perishable products using stock loan with regime switching.
Ann. Oper. Res., 2017
2016
Coordinating Supply Chains With a General Price-Dependent Demand Function: Impacts of Channel Leadership and Information Asymmetry.
IEEE Trans. Engineering Management, 2016
Indefinite Mean-Field Stochastic Linear-Quadratic Optimal Control: From Finite Horizon to Infinite Horizon.
IEEE Trans. Autom. Control., 2016
Mean-Field Linear-Quadratic-Gaussian (LQG) Games for Stochastic Integral Systems.
IEEE Trans. Autom. Control., 2016
Open-Loop and Closed-Loop Solvabilities for Stochastic Linear Quadratic Optimal Control Problems.
SIAM J. Control. Optim., 2016
Mean-field stochastic linear-quadratic optimal control with Markov jump parameters.
Syst. Control. Lett., 2016
Continuous-time Markowitz's model with constraints on wealth and portfolio.
Oper. Res. Lett., 2016
2015
Search-Based Advertising Auctions With Choice-Based Budget Constraint.
IEEE Trans. Syst. Man Cybern. Syst., 2015
Indefinite Mean-Field Stochastic Linear-Quadratic Optimal Control.
IEEE Trans. Autom. Control., 2015
Necessary condition for near optimal control of linear forward-backward stochastic differential equations.
Int. J. Control, 2015
Innovative menu of contracts for coordinating a supply chain with multiple mean-variance retailers.
Eur. J. Oper. Res., 2015
Discrete-time mean-field Stochastic linear-quadratic optimal control problems, II: Infinite horizon case.
Autom., 2015
2014
Unified Framework of Mean-Field Formulations for Optimal Multi-Period Mean-Variance Portfolio Selection.
IEEE Trans. Autom. Control., 2014
A mean-field formulation for optimal multi-period mean-variance portfolio selection with an uncertain exit time.
Oper. Res. Lett., 2014
Optimal multi-period mean-variance policy under no-shorting constraint.
Eur. J. Oper. Res., 2014
2013
Consensus seeking in multi-agent systems with multiplicative measurement noises.
Syst. Control. Lett., 2013
A computationally efficient state-space partitioning approach to pricing high-dimensional American options via dimension reduction.
Eur. J. Oper. Res., 2013
Discrete time mean-field stochastic linear-quadratic optimal control problems.
Autom., 2013
2012
Forward-backward linear quadratic stochastic optimal control problem with delay.
Syst. Control. Lett., 2012
Saddle points of discrete Markov zero-sum game with stopping.
Autom., 2012
2011
Near-optimal control for stochastic recursive problems.
Syst. Control. Lett., 2011
Supply chain coordination with risk sensitive retailer under target sales rebate.
Autom., 2011
2010
Maximum Principles for a Class of Partial Information Risk-Sensitive Optimal Controls.
IEEE Trans. Autom. Control., 2010
System Uncertainty and Statistical Detection for Jump-diffusion Models.
IEEE Trans. Autom. Control., 2010
Dynamic mean-variance portfolio selection with borrowing constraint.
Eur. J. Oper. Res., 2010
Near-optimal control problems for linear forward-backward stochastic systems.
Autom., 2010
2009
A high-order Markov-switching model for risk measurement.
Comput. Math. Appl., 2009
2008
On an approximation method for pricing a high-dimensional basket option on assets with mean-reverting prices.
Comput. Oper. Res., 2008
2003
Indefinite Stochastic Linear Quadratic Control with Markovian Jumps in Infinite Time Horizon.
J. Glob. Optim., 2003
Dynamic Mean Semi-variance Portfolio Selection.
Proceedings of the Computational Science - ICCS 2003, 2003
2002
Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints.
SIAM J. Control. Optim., 2002