Cong, Wenyu; Shi, Jingtao Direct approach of linear-quadratic Stackelberg mean field games of backward-forward stochastic systems. arXiv:2401.15835 Preprint, arXiv:2401.15835 [math.OC] (2024). MSC: 93E20 60H10 49K45 49N70 91A23 BibTeX Cite \textit{W. Cong} and \textit{J. Shi}, ``Direct approach of linear-quadratic Stackelberg mean field games of backward-forward stochastic systems'', Preprint, arXiv:2401.15835 [math.OC] (2024) Full Text: arXiv OA License
Si, Yu; Shi, Jingtao An overlapping information linear-quadratic Stackelberg stochastic differential game with two leaders and two followers. arXiv:2401.08112 Preprint, arXiv:2401.08112 [math.OC] (2024). MSC: 93E20 60H10 49K45 49N70 91A23 BibTeX Cite \textit{Y. Si} and \textit{J. Shi}, ``An overlapping information linear-quadratic Stackelberg stochastic differential game with two leaders and two followers'', Preprint, arXiv:2401.08112 [math.OC] (2024) Full Text: arXiv OA License
Zheng, Yueyang; Shi, Jingtao The maximum principle for discounted optimal control of partially observed forward-backward stochastic systems with jumps on infinite horizon. (English) Zbl 1521.93212 ESAIM, Control Optim. Calc. Var. 29, Paper No. 34, 49 p. (2023). MSC: 93E20 49N10 49N70 60H10 PDFBibTeX XMLCite \textit{Y. Zheng} and \textit{J. Shi}, ESAIM, Control Optim. Calc. Var. 29, Paper No. 34, 49 p. (2023; Zbl 1521.93212) Full Text: DOI arXiv
Lin, Jingtao; Shi, Jingtao A Risk-Sensitive Global Maximum Principle for Controlled Fully Coupled FBSDEs with Applications. arXiv:2304.04136 Preprint, arXiv:2304.04136 [math.OC] (2023). MSC: 93E20 60H10 35K15 BibTeX Cite \textit{J. Lin} and \textit{J. Shi}, ``A Risk-Sensitive Global Maximum Principle for Controlled Fully Coupled FBSDEs with Applications'', Preprint, arXiv:2304.04136 [math.OC] (2023) Full Text: arXiv OA License
Zheng, Yueyang; Shi, Jingtao Stackelberg stochastic differential game with asymmetric noisy observations. (English) Zbl 1500.91012 Int. J. Control 95, No. 9, 2510-2530 (2022). MSC: 91A15 91A65 93E20 49N10 49N70 60H10 PDFBibTeX XMLCite \textit{Y. Zheng} and \textit{J. Shi}, Int. J. Control 95, No. 9, 2510--2530 (2022; Zbl 1500.91012) Full Text: DOI arXiv
Meng, Weijun; Shi, Jingtao A linear quadratic stochastic Stackelberg differential game with time delay. (English) Zbl 1498.91038 Math. Control Relat. Fields 12, No. 3, 581-609 (2022). MSC: 91A15 91A65 93E20 49N10 34K35 34K50 PDFBibTeX XMLCite \textit{W. Meng} and \textit{J. Shi}, Math. Control Relat. Fields 12, No. 3, 581--609 (2022; Zbl 1498.91038) Full Text: DOI arXiv
Zheng, Yueyang; Shi, Jingtao A linear-quadratic partially observed Stackelberg stochastic differential game with application. (English) Zbl 1510.91052 Appl. Math. Comput. 420, Article ID 126819, 22 p. (2022). MSC: 91A25 91A65 49K45 49N10 49N70 60H10 93E20 PDFBibTeX XMLCite \textit{Y. Zheng} and \textit{J. Shi}, Appl. Math. Comput. 420, Article ID 126819, 22 p. (2022; Zbl 1510.91052) Full Text: DOI arXiv
Kang, Kaixin; Shi, Jingtao A Three-level Stochastic Linear-quadratic Stackelberg Differential Game with Asymmetric Information. arXiv:2210.11808 Preprint, arXiv:2210.11808 [math.OC] (2022). MSC: 93E20 60H10 49K45 49N70 91A23 BibTeX Cite \textit{K. Kang} and \textit{J. Shi}, ``A Three-level Stochastic Linear-quadratic Stackelberg Differential Game with Asymmetric Information'', Preprint, arXiv:2210.11808 [math.OC] (2022) Full Text: arXiv OA License
Li, Zixuan; Shi, Jingtao Closed-Loop Solvability of Stochastic Linear-Quadratic Optimal Control Problems with Poisson Jumps. arXiv:2208.13401 Preprint, arXiv:2208.13401 [math.OC] (2022). MSC: 49N10 49K45 60H10 93E20 BibTeX Cite \textit{Z. Li} and \textit{J. Shi}, ``Closed-Loop Solvability of Stochastic Linear-Quadratic Optimal Control Problems with Poisson Jumps'', Preprint, arXiv:2208.13401 [math.OC] (2022) Full Text: arXiv OA License
Zheng, Yueyang; Shi, Jingtao A Stackelberg game of backward stochastic differential equations with partial information. (English) Zbl 1481.91042 Math. Control Relat. Fields 11, No. 4, 797-828 (2021). MSC: 91A65 93E20 49N10 49N70 60H10 91G10 PDFBibTeX XMLCite \textit{Y. Zheng} and \textit{J. Shi}, Math. Control Relat. Fields 11, No. 4, 797--828 (2021; Zbl 1481.91042) Full Text: DOI arXiv
Zhang, Shuaiqi; Xiong, Jie; Shi, Jingtao A linear-quadratic optimal control problem of stochastic differential equations with delay and partial information. (English) Zbl 1480.93454 Syst. Control Lett. 157, Article ID 105046, 7 p. (2021). MSC: 93E20 49N10 93C23 34K50 PDFBibTeX XMLCite \textit{S. Zhang} et al., Syst. Control Lett. 157, Article ID 105046, 7 p. (2021; Zbl 1480.93454) Full Text: DOI
Meng, Weijun; Shi, Jingtao Linear quadratic optimal control problems of delayed backward stochastic differential equations. (English) Zbl 1476.93162 Appl. Math. Optim. 84, Suppl. 1, S523-S559 (2021). MSC: 93E20 93C43 49N10 34K50 PDFBibTeX XMLCite \textit{W. Meng} and \textit{J. Shi}, Appl. Math. Optim. 84, S523--S559 (2021; Zbl 1476.93162) Full Text: DOI arXiv
Li, Xun; Shi, Jingtao; Yong, Jiongmin Mean-field linear-quadratic stochastic differential games in an infinite horizon. (English) Zbl 1471.91023 ESAIM, Control Optim. Calc. Var. 27, Paper No. 81, 40 p. (2021). MSC: 91A15 91A16 91A05 49N10 PDFBibTeX XMLCite \textit{X. Li} et al., ESAIM, Control Optim. Calc. Var. 27, Paper No. 81, 40 p. (2021; Zbl 1471.91023) Full Text: DOI arXiv
Shi, Jingtao; Wang, Guangchen; Xiong, Jie Stochastic linear quadratic Stackelberg differential game with overlapping information. (English) Zbl 1461.91032 ESAIM, Control Optim. Calc. Var. 26, Paper No. 83, 38 p. (2020). MSC: 91A15 91A65 93E20 49N10 49N70 60H10 60G35 PDFBibTeX XMLCite \textit{J. Shi} et al., ESAIM, Control Optim. Calc. Var. 26, Paper No. 83, 38 p. (2020; Zbl 1461.91032) Full Text: DOI arXiv
Zheng, Yueyang; Shi, Jingtao A Stackelberg game of backward stochastic differential equations with applications. (English) Zbl 1457.91121 Dyn. Games Appl. 10, No. 4, 968-992 (2020). MSC: 91A65 91A80 49N10 60H10 91G15 PDFBibTeX XMLCite \textit{Y. Zheng} and \textit{J. Shi}, Dyn. Games Appl. 10, No. 4, 968--992 (2020; Zbl 1457.91121) Full Text: DOI arXiv
Shi, Jingtao; Wang, Guangchen A Linear-Quadratic Stackelberg Differential Game with Mixed Deterministic and Stochastic Controls. arXiv:2004.00653 Preprint, arXiv:2004.00653 [math.OC] (2020). MSC: 93E20 49K45 49N10 49N70 60H10 BibTeX Cite \textit{J. Shi} and \textit{G. Wang}, ``A Linear-Quadratic Stackelberg Differential Game with Mixed Deterministic and Stochastic Controls'', Preprint, arXiv:2004.00653 [math.OC] (2020) Full Text: arXiv OA License
Nie, Tianyang; Shi, Jingtao; Wu, Zhen Connection between MP and DPP for stochastic recursive optimal control problems: viscosity solution framework in the general case. (English) Zbl 1373.93384 SIAM J. Control Optim. 55, No. 5, 3258-3294 (2017). MSC: 93E20 60H10 90C39 49K45 49L25 PDFBibTeX XMLCite \textit{T. Nie} et al., SIAM J. Control Optim. 55, No. 5, 3258--3294 (2017; Zbl 1373.93384) Full Text: DOI arXiv
Nie, Tianyang; Shi, Jingtao The connection between DPP and MP for the fully coupled forward-backward stochastic control systems. (Chinese. English summary) Zbl 1363.93256 J. Shandong Univ., Nat. Sci. 51, No. 5, 121-129 (2016). MSC: 93E20 49K45 49L20 60H10 PDFBibTeX XMLCite \textit{T. Nie} and \textit{J. Shi}, J. Shandong Univ., Nat. Sci. 51, No. 5, 121--129 (2016; Zbl 1363.93256)
Shi, Jingtao Optimal control for stochastic differential delay equations with Poisson jumps and applications. (English) Zbl 1307.93465 Random Oper. Stoch. Equ. 23, No. 1, 39-52 (2015). MSC: 93E20 49K45 60H10 34K50 PDFBibTeX XMLCite \textit{J. Shi}, Random Oper. Stoch. Equ. 23, No. 1, 39--52 (2015; Zbl 1307.93465) Full Text: DOI
Shi, Jingtao Relationship between maximum principle and dynamic programming for stochastic differential games of jump diffusions. (English) Zbl 1291.93333 Int. J. Control 87, No. 4, 693-703 (2014). MSC: 93E20 49K45 90C39 91G10 PDFBibTeX XMLCite \textit{J. Shi}, Int. J. Control 87, No. 4, 693--703 (2014; Zbl 1291.93333) Full Text: DOI
Shi, Jingtao; Yu, Zhiyong Relationship between maximum principle and dynamic programming for stochastic recursive optimal control problems and applications. (English) Zbl 1296.93206 Math. Probl. Eng. 2013, Article ID 285241, 12 p. (2013). MSC: 93E20 49K45 49L20 90C39 91G80 91G10 PDFBibTeX XMLCite \textit{J. Shi} and \textit{Z. Yu}, Math. Probl. Eng. 2013, Article ID 285241, 12 p. (2013; Zbl 1296.93206)
Du, Ning; Shi, Jingtao; Liu, Wenbin An effective gradient projection method for stochastic optimal control. (English) Zbl 1280.65061 Int. J. Numer. Anal. Model. 10, No. 4, 757-774 (2013). Reviewer: Bülent Karasözen (Ankara) MSC: 65K10 49J15 93E20 49J55 49M30 PDFBibTeX XMLCite \textit{N. Du} et al., Int. J. Numer. Anal. Model. 10, No. 4, 757--774 (2013; Zbl 1280.65061) Full Text: Link
Shi, Jingtao Global maximum principle for the forward–backward stochastic optimal control problem with Poisson jumps. (English) Zbl 1303.93190 Asian J. Control 14, No. 5, 1355-1365 (2012). MSC: 93E20 49K45 60H10 PDFBibTeX XMLCite \textit{J. Shi}, Asian J. Control 14, No. 5, 1355--1365 (2012; Zbl 1303.93190) Full Text: DOI
Huang, Jianhui; Shi, Jingtao Maximum principle for optimal control of fully coupled forward-backward stochastic differential delayed equations. (English) Zbl 1258.93122 ESAIM, Control Optim. Calc. Var. 18, No. 4, 1073-1096 (2012). MSC: 93E20 60H10 34K50 49K45 PDFBibTeX XMLCite \textit{J. Huang} and \textit{J. Shi}, ESAIM, Control Optim. Calc. Var. 18, No. 4, 1073--1096 (2012; Zbl 1258.93122) Full Text: DOI
Shi, Jingtao; Wu, Zhen Maximum principle for risk-sensitive stochastic optimal control problem and applications to finance. (English) Zbl 1252.49040 Stochastic Anal. Appl. 30, No. 6, 997-1018 (2012). MSC: 49K45 91G10 93E20 60H10 60H30 PDFBibTeX XMLCite \textit{J. Shi} and \textit{Z. Wu}, Stochastic Anal. Appl. 30, No. 6, 997--1018 (2012; Zbl 1252.49040) Full Text: DOI
Huang, Jianhui; Li, Xun; Shi, Jingtao Forward-backward linear quadratic stochastic optimal control problem with delay. (English) Zbl 1250.93125 Syst. Control Lett. 61, No. 5, 623-630 (2012). MSC: 93E20 49N10 93B52 PDFBibTeX XMLCite \textit{J. Huang} et al., Syst. Control Lett. 61, No. 5, 623--630 (2012; Zbl 1250.93125) Full Text: DOI
Shi, Jingtao Necessary conditions for optimal control of forward-backward stochastic systems with random jumps. (English) Zbl 1239.93132 Int. J. Stoch. Anal. 2012, Article ID 258674, 50 p. (2012). MSC: 93E20 49K45 PDFBibTeX XMLCite \textit{J. Shi}, Int. J. Stoch. Anal. 2012, Article ID 258674, 50 p. (2012; Zbl 1239.93132) Full Text: DOI
Shi, Jingtao; Wu, Zhen A risk-sensitive stochastic maximum principle for optimal control of jump diffusions and its applications. (English) Zbl 1240.93365 Acta Math. Sci., Ser. B, Engl. Ed. 31, No. 2, 419-433 (2011). MSC: 93E20 60H10 60J75 49K45 PDFBibTeX XMLCite \textit{J. Shi} and \textit{Z. Wu}, Acta Math. Sci., Ser. B, Engl. Ed. 31, No. 2, 419--433 (2011; Zbl 1240.93365) Full Text: DOI
Shi, Jingtao; Wu, Zhen A stochastic maximum principle for optimal control of jump diffusions and applications to finance. (English) Zbl 1240.93364 Chin. J. Appl. Probab. Stat. 27, No. 2, 127-137 (2011). MSC: 93E20 91G10 62P05 49K45 PDFBibTeX XMLCite \textit{J. Shi} and \textit{Z. Wu}, Chin. J. Appl. Probab. Stat. 27, No. 2, 127--137 (2011; Zbl 1240.93364)
Shi, Jing-Tao; Wu, Zhen Relationship between MP and DPP for the stochastic optimal control problem of jump diffusions. (English) Zbl 1216.49024 Appl. Math. Optim. 63, No. 2, 151-189 (2011). MSC: 49K45 49L20 49L25 93E20 60J75 PDFBibTeX XMLCite \textit{J.-T. Shi} and \textit{Z. Wu}, Appl. Math. Optim. 63, No. 2, 151--189 (2011; Zbl 1216.49024) Full Text: DOI
Shi, J. T.; Wu, Z. Maximum principle for partially-observed optimal control of fully-coupled forward-backward stochastic systems. (English) Zbl 1209.49034 J. Optim. Theory Appl. 145, No. 3, 543-578 (2010). MSC: 49K45 49N10 93E20 60H10 PDFBibTeX XMLCite \textit{J. T. Shi} and \textit{Z. Wu}, J. Optim. Theory Appl. 145, No. 3, 543--578 (2010; Zbl 1209.49034) Full Text: DOI
Shi, Jingtao The maximum principle for fully coupled forward-backward stochastic control system with state constraints. (Chinese. English summary) Zbl 1153.93534 J. Shandong Univ., Nat. Sci. 42, No. 1, 44-48, 82 (2007). MSC: 93E20 49K45 PDFBibTeX XMLCite \textit{J. Shi}, J. Shandong Univ., Nat. Sci. 42, No. 1, 44--48, 82 (2007; Zbl 1153.93534)
Shi, Jing-Tao; Wu, Zhen The maximum principle for fully coupled forward-backward stochastic control system. (Chinese. English summary) Zbl 1498.93786 Acta Autom. Sin. 32, No. 2, 161-169 (2006). MSC: 93E20 49K45 PDFBibTeX XMLCite \textit{J.-T. Shi} and \textit{Z. Wu}, Acta Autom. Sin. 32, No. 2, 161--169 (2006; Zbl 1498.93786)