Jingrui Sun and Jiongmin Yong. Stochastic Linear-Quadratic Optimal Control Theory: Open-Loop and Closed-Loop Solutions. SpringerBriefs in Mathematics, Springer, Cham, (2020).
Jingrui Sun and Jiongmin Yong. Stochastic Linear-Quadratic Optimal Control Theory: Differential Games and Mean-Field Problems. SpringerBriefs in Mathematics, Springer, Cham, (2020).
发表论文:
Jingrui Sun and Jiongmin Yong. Turnpike properties for mean-field linear-quadratic optimal control problems. To appear in SIAM Journal on Control and Optimization, (2023).
Jingrui Sun and Huojun Wu. Long-time behavior of stochastic linear-quadratic optimal control problems. To appear in the 62nd IEEE Conference on Decision and Control, (2023).
Jingrui Sun and Jiongmin Yong. Stochastic linear-quadratic optimal control problems — recent developments. Annual Reviews in Control, 56 (2023): 100899.
Jingrui Sun and Jie Xiong. Stochastic linear-quadratic optimal control with partial observation. SIAM Journal on Control and Optimization, 61 (2023), pp. 1231–1247.
Jingrui Sun, Jie Xiong, and Zhen Wu. Indefinite backward stochastic linear-quadratic optimal control problems. ESAIM: Control, Optimisation and Calculus of Variations, 29 (2023): 35.
Jingrui Sun, Hanxiao Wang, and Jiaqiang Wen. Zero-sum Stackelberg stochastic linear-quadratic differential games. SIAM Journal on Control and Optimization, 61 (2023), pp. 250-282.
Jingrui Sun, Hanxiao Wang, and Jiongmin Yong. Turnpike properties for stochastic linear-quadratic optimal control problems. Chinese Annals of Mathematics (Series B), 43 (2022), pp. 999-1022.
Jingrui Sun, Jiaqiang Wen, and Jie Xiong. General indefinite backward stochastic linear-quadratic optimal control problems. ESAIM: Control, Optimisation and Calculus of Variations, 28 (2022): 35. Hanxiao Wang,
Jingrui Sun, and Jiongmin Yong. Recursive utility processes, dynamic risk measures and quadratic backward stochastic volterra integral equations. Applied Mathematics & Optimization, 84 (2021), pp. 145-190.
Jingrui Sun, Hanxiao Wang, and Zhen Wu. Mean-field linear-quadratic stochastic differential games. Journal of Differential Equations, 296 (2021), pp. 299-334.
Jingrui Sun and Hanxiao Wang. Linear-quadratic optimal control for backward stochastic differential equations with random coefficients. ESAIM: Control, Optimisation and Calculus of Variations, 27 (2021): 46.
Jingrui Sun. Two-Person Zero-Sum Stochastic Linear-Quadratic Differential Games.SIAM Journal on Control and Optimization, 59 (2021), pp. 1804-1829.
Jingrui Sun and Hanxiao Wang. Mean-field stochastic linear-quadratic optimal control problems: Weak closed-loop solvability. Mathematical Control and Related Fields, 11 (2021), pp.47-71.
Jingrui Sun, Jie Xiong, and Jiongmin Yong. Indefinite stochastic linear-quadratic optimal control problems with random coefficients: Closed-loop representation of open-loop optimal controls. Annals of Applied Probability, 31 (2021), pp. 460-499.
Jingrui Sun. Linear quadratic optimal control problems with fixed terminal states and integral quadratic constraints. Applied Mathematics & Optimization, 83 (2021), pp. 251-276. Xiuchun Bi,
Jingrui Sun, and Jie Xiong. Optimal control for controllable stochastic linear systems.ESAIM: Control, Optimisation and Calculus of Variations, 26 (2020): 98. Hanxiao Wang,
Jingrui Sun, and Jiongmin Yong. Weak closed-loop solvability of stochastic linear-quadratic optimal control problems. Discrete and Continuous Dynamical Systems - Series A, 2019. Published online: doi:10.3934/dcds.2019117.
Jingrui Sun and Jiongmin Yong.Linear-quadratic stochastic two-personnonzero-sum differential games: Open-loop and closed-loop Nash equilibria. Stochastic Processes and their Applications, 2019, 129: 381-418.
Jingrui Sun and Jiongmin Yong.Stochastic linear quadratic optimal controlproblems in infinite horizon. Applied Mathematics & Optimization, 2018, 78: 145-183. Xun Li,
Jingrui Sun, and Jie Xiong. Linear quadratic optimal control problems for mean-field backward stochastic differential equations. Applied Mathematics & Optimization, 80 (2019), pp. 223-250.
Jingrui Sun. Mean-field stochastic linear quadratic optimal control problems: Open-loop solvabilities. ESAIM: Control, Optimisation and Calculus of Variations, 2017, 23: 1099-1127. Xun Li,
Jingrui Sun, and Jiongmin Yong.Mean-field stochastic linear quadratic optimal control problems: Closed-loop solvability. Probability, Uncertainty and Quantitative Risk, 2016, 1:2.
Jingrui Sun, Xun Li, and Jiongmin Yong.Open-loop and closed-loop solvabilities for stochastic linear quadratic optimal control problems. SIAM Journal on Control and Optimization, 2016, 54 (5): 2274-2308.
Jingrui Sun, Jiongmin Yong, and Shuguang Zhang.Linear quadraticstochastic two-person zero-sum differential games in an infinite horizon. ESAIM: Control, Optimisation and Calculus of Variations, 2016, 22: 743-769.
Jingrui Sun and Jiongmin Yong.Linear quadratic stochastic differentialgames: Open-loop and closed-loop saddle points. SIAM Journal on Control and Optimization, 2014, 52 (6): 4082-4121.