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山东大学 [9]
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期刊论文 [9]
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2019 [1]
2018 [2]
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Viability of an open set for stochastic control systems
期刊论文
STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2019, 卷号: 129, 期号: 10, 页码: 4108-4118
作者:
Buckdahn, R.
;
Frankowska, H.
;
Quincampoix, M.
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  |  
浏览/下载:3/0
  |  
提交时间:2019/12/11
Viability of an open set for stochastic control systems
期刊论文
Stochastic Processes and their Applications, 2018
作者:
Buckdahn R.
;
Frankowska H.
;
Quincampoix M.
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  |  
浏览/下载:4/0
  |  
提交时间:2019/12/11
Uniqueness of solution to scalar BSDEs with L exp (μ√2log(1+L))-integrable terminal values
期刊论文
Electronic Communications in Probability, 2018, 卷号: 23
作者:
Buckdahn R.
;
Hu Y.
;
Tang S.
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浏览/下载:5/0
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提交时间:2019/12/11
Backward stochastic differential equation
Lexp (μ√2log(1+L)) integrability
Uniqueness
BROWNIAN BRIDGES ON RANDOM INTERVALS
期刊论文
THEORY OF PROBABILITY AND ITS APPLICATIONS, 2017, 卷号: 61, 期号: 1, 页码: 15-39
作者:
Bedini, M. L.
;
Buckdahn, R.
;
Engelbert, H. -J.
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浏览/下载:6/0
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提交时间:2019/12/12
Bayes theorem
Brownian bridge
default time
Markov process
semimartingale decomposition
credit default swap
Regularity properties for general HJB equations: A backward stochastic differential equation method
期刊论文
SIAM Journal on Control and Optimization, 2012, 卷号: 50, 期号: 3, 页码: 1466-1501
作者:
Buckdahn, R.
;
Huang, J.
;
Li, J.
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  |  
浏览/下载:3/0
  |  
提交时间:2019/12/23
Backward stochastic differential equation
HJB equation
Lipschitz continuity
Reflected backward stochastic differential equations
Semiconcavity
Value function
Stochastic representation for solutions of Isaacs\' type integral-partial differential equations
期刊论文
Stochastic Processes and Their Applications: An Official Journal of the Bernoulli Society for Mathematical Statistics and Probability, 2011, 卷号: 121, 期号: 12, 页码: 2715-2750
作者:
Buckdahn, R.
;
Hu, Y.
;
Li, J.
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浏览/下载:4/0
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提交时间:2019/12/23
Backward stochastic differential equations
Dynamic programming principle
Integral-partial differential operators
Poisson random measure
Stochastic differential games
Value function
Viscosity solution
A general stochastic maximum principle for SDEs of mean-field type
期刊论文
Applied mathematics and optimization, 2011, 卷号: 64, 期号: 2, 页码: 197-216
作者:
Buckdahn, R.
;
Djehiche, B.
;
Li, J.
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浏览/下载:3/0
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提交时间:2019/12/23
Maximum principle
McKean-Vlasov equation
Mean-field SDE
Stochastic control
Time inconsistent control
Probabilistic interpretation for systems of Isaacs equations with two reflecting barriers
期刊论文
Nonlinear differential equations and applications: NoDEA, 2009, 卷号: 16, 期号: 3, 页码: 381-420
作者:
R. Buckdahn
;
J. Li
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浏览/下载:2/0
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提交时间:2019/12/26
Stochastic differential games
Zero-sum games
Value function
Reflected backward stochastic differential equations
Dynamic programming principle
Isaacs equations with obstacles
Viscosity solution
Existence of stochastic control under state constraints [Existence de contrôle stochastique sous contraintes d'état]
期刊论文
Comptes Rendus de l'Academie des Sciences - Series I: Mathematics, 1998, 卷号: 327, 期号: 1, 页码: 17-22
作者:
Buckdahn R.
;
Peng S.
;
Quincampoix M.
;
Rainer C.
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浏览/下载:3/0
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提交时间:2020/01/14
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