Searcharxiv⌕ Search

arXiv subjects

Yanyan Tang

Publications and source records attributed to Yanyan Tang.

7 recordsLinked to original sources
arXiv2026

Constrained Zero-Sum Stochastic Linear-Quadratic Differential Game for Jump-Diffusion Systems with Random Coefficients

This paper studies a two-player zero-sum stochastic linear-quadratic (SLQ) differential game for controlled jump-diffusion systems with random coefficients, where the controls of both players are constrained to nonempty closed convex cones. Under a uniform convexity--concavity condition, we establish the existence and uniqueness of an open-loop saddle point and characterize it by a forward--backward stochastic differential equation with jumps (FBSDEJ) together with cone-type variational inequalities. Assuming the existence of positive bounded solutions to the associated system of indefinite extended stochastic Riccati equations with jumps (IESREJs), we derive a feedback-form representation of the unique open-loop saddle point by constructing predictable minimax selectors and combining the Meyer--It\^o formula with jumps, and the FBSDEJ characterization. Finally, under additional structural conditions, we prove the existence of positive bounded solutions to the IESREJs by a double-truncation approximation and a multidimensional BSDEJ comparison theorem.

math.OC↗
arXiv2025

General mean-field stochastic linear quadratic control problem driven by L\'evy processes with random coefficients

This paper studies a stochastic mean-field linear-quadratic optimal control problem with random coefficients. The state equation is a general linear stochastic differential equation with mean-field terms $\EE X(t)$ and $\EE u(t)$ of the state and the control processes and is driven by a Brownian motion and a Poisson random measure. By the coupled system of Riccati equations, an explicit expressions for the optimal state feedback control is obtained. As a by-product, the non-homogeneous stochastic linear-quadratic control problem with random coefficients and L\'evy driving noises is also studied.

math.OC↗
arXiv2024

Stochastic maximum principle for weighted mean-field system with jump

In this article, we consider a weighted mean-field control problem with jump-diffusion as its state process. The main difficulty is from the non-Lipschitz property of the coefficients. We overcome this difficulty by an $L_{p,q}$-estimate of the solution processes with a suitably chosen $p$ and $q$. Convex pertubation method combining with the aforementioned $L_{p,q}$-estimation method is utilized to derive the stochastic maximum principle for this control problem. A sufficient condition for the optimality is also given.

math.OC↗
arXiv2022

Stochastic maximum principle for weighted mean-field system

We study the optimal control problem for a weighted mean-field system. A new feature of the control problem is that the coefficients depend on the state process as well as its weighted measure and the control variable. By applying variational technique, we establish a stochastic maximum principle. As an application, we investigate the optimal premium policy of an insurance firm for asset-liability management problem.

math.OC↗
arXiv2019

$L^{p}$ regularity of weighted Bergman projection on Fock-Bargmann-Hartogs domain

The Fock-Bargmann-Hartogs domain $D_{n, m}(μ)$ is defined by $$ D_{n, m}(μ):=\{(z, w)\in\mathbb{C}^{n}\times\mathbb{C}^m:\Vert w \Vert^2 0.$ The Fock-Bargmann-Hartogs domain $D_{n, m}(μ)$ is an unbounded strongly pseudoconvex domain with smooth real-analytic boundary. In this paper, we first compute the weighted Bergman kernel of $D_{n, m}(μ)$ with respect to the weight $(-ρ)^α$, where $ρ(z,w):=\|w\|^2-e^{-μ\|z\|^2}$ is a defining function for $D_{n, m}(μ)$ and $α>-1$. Then, for $p\in [1,\infty),$ we show that the corresponding weighted Bergman projection $P_{D_{n, m}(μ), (-ρ)^α}$ is unbounded on $L^p(D_{n, m}(μ), (-ρ)^α)$, except for the trivial case $p=2$. In particular, this paper gives an example of an unbounded strongly pseudoconvex domain whose ordinary Bergman projection is $L^p$ irregular when $p\in [1,\infty)\setminus\{2\}$. This result turns out to be completely different from the well-known positive $L^p$ regularity result on bounded strongly pseudoconvex domain.

math.CV↗
arXiv2019

Special Toeplitz operators on a class of bounded Hartogs domains

We introduce a wider class of bounded Hartogs domains, which contains some generalizations of the classical Hartogs triangle. A sharp criteria for the $L^p-L^q$ boundedness of the Toeplitz operator with symbol $K^{-t}$ is obtained on these domains, where $K$ is the Bergman kernel on diagonal and $t\geq 0$. It generalizes the results by Chen and Beberok in the case $1<p<\infty$.

math.CV↗