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Partially-Observed Maximum Principle for Backward Stochastic Differential Delay Equations
期刊论文
IEEE/CAA Journal of Automatica Sinica, 2024, 卷号: 11, 期号: 6, 页码: 1524-1526
作者:
Shuang Wu
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浏览/下载:0/0
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提交时间:2024/05/22
Weak Universality of the Dynamical Phi(4)(3) Model on the Whole Space
期刊论文
POTENTIAL ANALYSIS, 2021, 页码: 36
作者:
Zhu, Rongchan
;
Zhu, Xiangchan
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浏览/下载:5/0
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提交时间:2022/04/02
Phi(4)(3) model
Paracontrolled distributions
Weak universality
Space-time white noise
Renormalisation
An Efficient Numerical Algorithm for Solving Data Driven Feedback Control Problems
期刊论文
JOURNAL OF SCIENTIFIC COMPUTING, 2020, 卷号: 85, 期号: 2, 页码: 27
作者:
Archibald, Richard
;
Bao, Feng
;
Yong, Jiongmin
;
Zhou, Tao
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浏览/下载:7/0
  |  
提交时间:2021/01/14
Stochastic optimal control
Nonlinear filtering
Data driven
Maximum principle
Stochastic optimization
Highly Accurate Numerical Schemes for Stochastic Optimal Control Via FBSDEs
期刊论文
NUMERICAL MATHEMATICS-THEORY METHODS AND APPLICATIONS, 2020, 卷号: 13, 期号: 2, 页码: 296-319
作者:
Fu, Yu
;
Zhao, Weidong
;
Zhou, Tao
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  |  
浏览/下载:20/0
  |  
提交时间:2020/05/24
Forward backward stochastic differential equations
stochastic optimal control
stochastic maximum principle
projected quasi-Newton methods
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
The stochastic maximum principle in singular optimal control with recursive utilities
期刊论文
JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS, 2019, 卷号: 471, 期号: 1-2, 页码: 378-391
作者:
Ji, Shaolin
;
Xue, Xiaole
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浏览/下载:4/0
  |  
提交时间:2019/12/11
Backward stochastic differential equations
Nonconvex control domain
Singular control
Stochastic maximum principle
Stochastic recursive
optimal control
Variational equation
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
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提交时间:2019/12/11
Forward-backward doubly stochastic differential equations
Itô-Lévy processes
linear quadratic problem
maximum principle
variational equation
A second-order maximum principle for singular optimal controls with recursive utilities of stochastic delay systems
期刊论文
European Journal of Control, 2019, 卷号: 50, 页码: 96-106
作者:
Hao, Tao
;
Meng, Qingxin
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浏览/下载:2/0
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提交时间:2019/12/11
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
Risk-sensitive stochastic control with applications to an optimal investment problem under correlated noises
期刊论文
Chinese Control Conference, CCC, 2019, 卷号: 2019-July, 页码: 1356-1363
作者:
Yang, Le
;
Zheng, Yueyang
;
Shi, Jingtao
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浏览/下载:3/0
  |  
提交时间:2019/12/11
Correlation coefficient
Maximum principle
Optimal investment
Riccati equation
Risk-sensitive stochastic control
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