Hancheng Guo
Current Organizations / Institutes
The organizations/institutes from the scholar's latest article
Hancheng Guo has a total of 3 co-authors. Here are the top co-authors by number of shared publications:
- Jie Xiong
Department of Mathematics and SUSTech International Center for Mathematics, Southern University of Science and Technology, Shenzhen, Guangdong, 518055, China
3 shared publications - Jiayu Zheng
Faculty of Computational Mathematics and Cybernetics, Shenzhen MSU-BIT University, Shenzhen, China
1 shared publication - Jiayu Zheng
Department of Mathematics Faculty of Science and Technology University of Macau Macau China
1 shared publication
Latest Publications
- 1 March 2024
- Published by Springer Nature in Journal of Optimization Theory and Applications
- Vol. 201 (1) , 352-377
Stochastic Maximum Principle for Generalized Mean-Field Delay Control Problem
- 1 March 2024
- Published by Springer Nature in Journal of Optimization Theory and Applications
- Vol. 201 (1) , 352-377
Stochastic Maximum Principle for Generalized Mean-Field Delay Control Problem
- Open Access
- 1 January 2018
- Published by American Institute of Mathematical Sciences (AIMS) in Mathematical Control and Related Fields
- Vol. 8 (2) , 451-473
A second-order stochastic maximum principle for generalized mean-field singular control problem
In this paper, we study the generalized mean-field stochastic control problem when the usual stochastic maximum principle (SMP) is not applicable due to the singularity of the Hamiltonian function. In this case, we derive a second order SMP. We introduce the adjoint process by the generalized mean-field backward stochastic differential equation. The keys in the proofs are the expansion of the cost functional in terms of a perturbation parameter, and the use of the range theorem for vector-valued measures.
- 1 January 2018
- Published by American Institute of Mathematical Sciences (AIMS) in Mathematical Control and Related Fields
- Vol. 8 (2) , 451-473
Open AccessA second-order stochastic maximum principle for generalized mean-field singular control problem
In this paper, we study the generalized mean-field stochastic control problem when the usual stochastic maximum principle (SMP) is not applicable due to the singularity of the Hamiltonian function. In this case, we derive a second order SMP. We introduce the adjoint process by the generalized mean-field backward stochastic differential equation. The keys in the proofs are the expansion of the cost functional in terms of a perturbation parameter, and the use of the range theorem for vector-valued measures.
- Open Access
Stochastic maximum principle for generalized mean-field delay control problem
In this paper, we first give the existence and uniqueness theorems for generalized mean-filed delay stochastic differential equations (GMFDSDEs) and mean-field anticipated backward stochastic differential equations (MFABSDEs). Then we study the stochastic maximum principle for generalized mean-filed delay control problem. Since the state is distribution-depending, we define the adjoint equation as a MFABSDE, in which, all the derivatives of coefficients are in Fr\'echet sense. We deduce the stochastic maximum principle, and also obtain, under some additional assumptions, a sufficient condition for the optimality of the control.
Open AccessStochastic maximum principle for generalized mean-field delay control problem
In this paper, we first give the existence and uniqueness theorems for generalized mean-filed delay stochastic differential equations (GMFDSDEs) and mean-field anticipated backward stochastic differential equations (MFABSDEs). Then we study the stochastic maximum principle for generalized mean-filed delay control problem. Since the state is distribution-depending, we define the adjoint equation as a MFABSDE, in which, all the derivatives of coefficients are in Fr\'echet sense. We deduce the stochastic maximum principle, and also obtain, under some additional assumptions, a sufficient condition for the optimality of the control.