Stochastic Control
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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)
A stochastic linear quadratic optimal control problem with generalized expectation
Stochastic Analysis and Applications, 26 (2008), 1136-1160.
(Article)
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Libin Mou and Jiongmin Yong
A variational formula for stochastic controls and some applications
Pure and Applied Mathematics Quarterly, 3 (2007), 539-567.
(Article)
Stochastic optimal control and forward-backward stochastic differential equations
Computational and Applied Mathematics, 21 (2002), 369-403.
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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.
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Shuping Chen and Jiongmin Yong
Solvability of a stochastic linear quadratic optimal control problem
AMS/IP Studies in Advanced Mathematics, 26 (2002), 35-43.
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Shuping Chen and Jiongmin Yong
Stochastic linear quadratic optimal control problems
Applied Mathematics and Optimization, 43 (2001), 21-45
(Article)
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Shuping Chen and Jiongmin Yong
Stochastic linear quadratic optimal control problems with random coefficients
Chinese Annals of Mathematics, 21 B (2000), 323-338.
(Article)
Dynamic programming for multidimensional stochastic control problems
Acta Mathematica Sinica, 15 (1999), 485-506.
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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)
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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,
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Ying Hu and Jiongmin Yong
Maximum principle for stochastic optimal impulse controls
Chinese Annals of Mathematics, Ser. A, Suppl., 12 (1991), 109-114.