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科研机构
山东大学 [11]
数学与系统科学研究院 [2]
湖南大学 [1]
内容类型
期刊论文 [14]
发表日期
2019 [14]
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发表日期:2019
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Explicit Deferred Correction Methods for Second-Order Forward Backward Stochastic Differential Equations
期刊论文
JOURNAL OF SCIENTIFIC COMPUTING, 2019, 卷号: 79, 期号: 3, 页码: 1409-1432
作者:
Yang, Jie
;
Zhao, Weidong
;
Zhou, Tao
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浏览/下载:49/0
  |  
提交时间:2020/01/10
Deferred correction method
Second-order forward backward stochastic differential equations
Euler scheme
High-order rate of convergence
A PARTIALLY OBSERVED NON-ZERO SUM DIFFERENTIAL GAME OF FORWARD-BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS AND ITS APPLICATION IN FINANCE
期刊论文
MATHEMATICAL CONTROL AND RELATED FIELDS, 2019, 卷号: 9, 期号: 2, 页码: 257-276
作者:
Xiong, Jie
;
Zhang, Shuaiqi
;
Zhuang, Yi
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  |  
浏览/下载:10/0
  |  
提交时间:2019/12/11
Forward-backward stochastic differential equation
stochastic
differential game
maximum principle
equilibrium point
stochastic
filtering
An Open-Loop Stackelberg Strategy for the Linear Quadratic Mean-Field Stochastic Differential Game
期刊论文
IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 2019, 卷号: 64, 期号: 1, 页码: 97-110
作者:
Lin, Yaning
;
Jiang, Xiushan
;
Zhang, Weihai
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  |  
浏览/下载:17/0
  |  
提交时间:2019/12/11
Mean-field forward-backward stochastic differential equation (MF-FBSDE)
mean-field stochastic linear-quadratic (LQ) optimal control
mean-field
stochastic systems
Riccati equations
Stackelberg strategy
The Optimal Control of Fully-Coupled Forward-Backward Doubly Stochastic Systems Driven by Itô-Lévy Processes
期刊论文
Journal of Systems Science and Complexity, 2019
作者:
Wang W.
;
Wu J.
;
Liu Z.
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  |  
浏览/下载:8/0
  |  
提交时间:2019/12/11
Forward-backward doubly stochastic differential equations
Itô-Lévy processes
linear quadratic problem
maximum principle
variational equation
An explicit second-order numerical scheme for mean-field forward backward stochastic differential equations
期刊论文
Numerical Algorithms, 2019
作者:
Sun Y.
;
Zhao W.
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浏览/下载:8/0
  |  
提交时间:2019/12/11
Error estimates
Mean-field forward backward stochastic differential equation
Monte Carlo method
Stability analysis
Weak-order 2.0 Taylor scheme
Explicit Deferred Correction Methods for Second-Order Forward Backward Stochastic Differential Equations
期刊论文
JOURNAL OF SCIENTIFIC COMPUTING, 2019, 卷号: 79, 期号: 3, 页码: 1409-1432
作者:
Yang, Jie
;
Zhao, Weidong
;
Zhou, Tao
收藏
  |  
浏览/下载:4/0
  |  
提交时间:2019/12/11
Deferred correction method
Second-order forward backward stochastic
differential equations
Euler scheme
High-order rate of convergence
Well-Posedness of Fully Coupled Linear Forward-Backward Stochastic Differential Equations
期刊论文
系统科学与复杂性学报(英文版), 2019, 卷号: 32, 期号: 3, 页码: 789-802
作者:
Liu, Ruyi
;
Wu, Zhen
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  |  
浏览/下载:11/0
  |  
提交时间:2019/12/11
Forward-backward stochastic differential equations
linear transformation
monotonicity conditions
optimal control theory
unified approach
The Optimal Control of Fully-Coupled Forward-Backward Doubly Stochastic Systems Driven by Ito-Levy Processes
期刊论文
JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY, 2019, 卷号: 32, 期号: 4, 页码: 997-1018
作者:
Wang Wencan
;
Wu Jinbiao
;
Liu Zaiming
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  |  
浏览/下载:9/0
  |  
提交时间:2019/12/11
Forward-backward doubly stochastic differential equations
Ito-Levy
processes
linear quadratic problem
maximum principle
variational
equation
Lie-Point Symmetries and Backward Stochastic Differential Equations
期刊论文
SYMMETRY-BASEL, 2019, 卷号: 11, 期号: 9
作者:
Zhang, Na
;
Jia, Guangyan
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浏览/下载:7/0
  |  
提交时间:2019/12/11
backward stochastic differential equation
Lie-point symmetry
forward-backward stochastic differential equation
Infinite horizon optimal control of mean-field forward–backward delayed systems with Poisson jumps
期刊论文
European Journal of Control, 2019, 卷号: Vol.46, 页码: 14-22
作者:
Heping Ma
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  |  
浏览/下载:7/0
  |  
提交时间:2019/12/17
Infinite
horizon
Optimal
control
Mean-field
type
Stochastic
differential
delay
equations
Poisson
jumps
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