Stochastic Control

  • Jiongmin Yong
    Optimality variational principle for optimal controls of forward-backward stochastic differential equations
    SIAM Journal on Control and Optimization, 48 (2010), 4119-4156.
  • Mou-Hsiung Chang, Tao Pang, and Jiongmin Yong
    Optimal stopping problem for stochastic differential equations with random coefficients
    SIAM Journal on Control and Optimization, 48 (2009), 941-971. (Article)
  • Jiongmin Yong
    A stochastic linear quadratic optimal control problem with generalized expectation
    Stochastic Analysis and Applications, 26 (2008), 1136-1160. (Article)
  • Libin Mou and Jiongmin Yong
    A variational formula for stochastic controls and some applications
    Pure and Applied Mathematics Quarterly, 3 (2007), 539-567. (Article)
  • Jiongmin Yong
    Stochastic optimal control and forward-backward stochastic differential equations
    Computational and Applied Mathematics, 21 (2002), 369-403.
  • George G. Yin and Jiongmin Yong
    A weak convergence approach to a hybrid LQG problem with indefinite control weights
    Journal of Applied Mathematics and Stochastic Analysis, 15 (2002), 1-21.
  • Shuping Chen and Jiongmin Yong
    Solvability of a stochastic linear quadratic optimal control problem
    AMS/IP Studies in Advanced Mathematics, 26 (2002), 35-43.
  • Shuping Chen and Jiongmin Yong
    Stochastic linear quadratic optimal control problems
    Applied Mathematics and Optimization, 43 (2001), 21-45
    (Article)
  • Shuping Chen and Jiongmin Yong
    Stochastic linear quadratic optimal control problems with random coefficients
    Chinese Annals of Mathematics, 21 B (2000), 323-338.
    (Article)
  • Jin Ma and Jiongmin Yong
    Dynamic programming for multidimensional stochastic control problems
    Acta Mathematica Sinica, 15 (1999), 485-506.
  • Xun Yu Zhou, Jiongmin Yong, and Xunjing Li
    Stochastic verification theorems within the framework of viscosity solutions
    SIAM Journal on Control and Optimization, 35 (1997), 243-253.
    (Article)
  • Shanjian Tang and Jiongmin Yong
    Finite horizon stochastic optimal switching and impulse controls with a viscosity solution approach
    Stochastics and Stochastics Reports, 45 (1993), 145-176,
  • Ying Hu and Jiongmin Yong
    Maximum principle for stochastic optimal impulse controls
    Chinese Annals of Mathematics, Ser. A, Suppl., 12 (1991), 109-114.