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山东大学 [16]
数学与系统科学研究院 [5]
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暨南大学 [1]
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期刊论文 [23]
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Gradient estimates for nonlinear diffusion semigroups by coupling methods
期刊论文
SCIENCE CHINA-MATHEMATICS, 2020, 页码: 16
作者:
Song, Yongsheng
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浏览/下载:17/0
  |  
提交时间:2020/05/24
gradient estimates
coupling methods
G-expectation
nonlinear PDEs
BSDEs and SDEs with time-advanced and -delayed coefficients
期刊论文
STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC PROCESSES, 2019, 卷号: 91, 期号: 6, 页码: 836-856
作者:
Zheng, Shiqiu
;
Zong, Gaofeng
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浏览/下载:4/0
  |  
提交时间:2019/12/11
Backward stochastic differential equation
stochastic differential
equation
time-delayed coefficients
time-advanced coefficients
comparison theorem
60H10
Mean-field forward and backward SDEs with jumps and associated nonlocal quasi-linear integral-PDEs
期刊论文
STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2018, 卷号: 128, 期号: 9, 页码: 3118-3180
作者:
Li, Juan
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  |  
浏览/下载:4/0
  |  
提交时间:2019/12/11
BSDEs with jump
Mean-field BSDEs with jump
Integral-PDE of mean-field
type
Ito's formula
Value function
Near-maximum principle for general recursive utility optimal control problem
期刊论文
INTERNATIONAL JOURNAL OF CONTROL, 2018, 卷号: 91, 期号: 10, 页码: 2187-2198
作者:
Yang, Shuzhen
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  |  
浏览/下载:2/0
  |  
提交时间:2019/12/11
Near-maximum principle
recursive utility
backward SDEs
optimal
control
FORWARD BACKWARD SDES IN WEAK FORMULATIONSCI原文链接
期刊论文
2018, 卷号: 8, 期号: 3-4, 页码: 1021-1049
作者:
Wang, Haiyang[1]
;
Zhang, Jianfeng[2]
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  |  
浏览/下载:4/0
  |  
提交时间:2020/01/07
EFFICIENT SPECTRAL SPARSE GRID APPROXIMATIONS FOR SOLVING MULTI-DIMENSIONAL FORWARD BACKWARD SDES
期刊论文
DISCRETE AND CONTINUOUS DYNAMICAL SYSTEMS-SERIES B, 2017, 卷号: 22, 期号: 9, 页码: 3439-3458
作者:
Fu, Yu
;
Zhao, Weidong
;
Zhou, Tao
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  |  
浏览/下载:23/0
  |  
提交时间:2018/07/30
Spectral method
sparse grid approximations
forward backward stochastic differential equations
conditional expectations
fast Fourier transform
Near-maximum principle for general recursive utility optimal control problem
期刊论文
International Journal of Control, 2017, 页码: 1-12
作者:
Yang S.
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浏览/下载:8/0
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提交时间:2019/12/16
backward SDEs
Near-maximum principle
optimal control
recursive utility
A MEAN-FIELD STOCHASTIC CONTROL PROBLEM WITH PARTIAL OBSERVATIONS
期刊论文
ANNALS OF APPLIED PROBABILITY, 2017, 卷号: 27, 期号: 5, 页码: 3201-3245
作者:
Buckdahn, Rainer
;
Li, Juan
;
Ma, Jin
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浏览/下载:3/0
  |  
提交时间:2019/12/12
Conditional mean-field SDEs
non-Markovian stochastic control system
nonlinear filtering
stochastic maximum principle
mean-field backward
SDEs
The moment exponential stability criterion of nonlinear hybrid stochastic differential equations and its discrete approximations
期刊论文
PROCEEDINGS OF THE ROYAL SOCIETY OF EDINBURGH SECTION A-MATHEMATICS, 2016, 卷号: 146, 期号: 6, 页码: 1303-1328
作者:
Zong, Xiaofeng
;
Wu, Fuke
;
Huang, Chengming
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浏览/下载:22/0
  |  
提交时间:2018/07/30
hybrid SDEs
moment exponential stability
Markov chain
Euler-Maruyama approximation
backward Euler-Maruyama approximation
split-step backward Euler-Maruyama approximation
Partial information differential games for mean-field SDEs
期刊论文
Chinese Control Conference, CCC, 2016, 卷号: 2016-August, 页码: 1684-1689
作者:
Xiao, Hua
;
Zhang, Shuaiqi
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  |  
浏览/下载:5/0
  |  
提交时间:2019/12/16
Backward stochastic differential equations
Maximum principle
Mean-field games
Partial information
Verification
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