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科研机构
山东大学 [14]
数学与系统科学研究院 [1]
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期刊论文 [15]
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2019 [2]
2018 [1]
2017 [3]
2016 [1]
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Connection between the adjoint variables and value function for controlled fully coupled FBSDEs: The global case
期刊论文
Proceedings - 2019 34rd Youth Academic Annual Conference of Chinese Association of Automation, YAC 2019, 2019, 页码: 617-624
作者:
Shi, Jingtao
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  |  
浏览/下载:7/0
  |  
提交时间:2019/12/11
Dynamic programming principle
Fully coupled FBSDEs
Maximum principle
Sub- and super-derivatives
Tracking problem for itô stochastic system with input delay
期刊论文
Chinese Control Conference, CCC, 2019, 卷号: 2019-July, 页码: 1370-1374
作者:
Jin N.
;
Liu S.
;
Zhang H.
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  |  
浏览/下载:7/0
  |  
提交时间:2019/12/11
FBSDEs
Input delay
Itô stochastic systems
Linear quadratic tracking
Optimal Control Problem for Discrete-Time Markov Jump Systems with Indefinite Weight Costs
期刊论文
INTELLIGENT ROBOTICS AND APPLICATIONS (ICIRA 2018), PT I, 2018, 卷号: 10984, 页码: 144-152
作者:
Li, Hongdan
;
Han, Chunyan
;
Zhang, Huanshui
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  |  
浏览/下载:2/0
  |  
提交时间:2019/12/11
Optimal control
FBSDEs-MJ
Indefinite
Markov jump system
SECOND-ORDER NUMERICAL SCHEMES FOR DECOUPLED FORWARD-BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS WITH JUMPS
期刊论文
JOURNAL OF COMPUTATIONAL MATHEMATICS, 2017, 卷号: 35, 期号: 2, 页码: 213-244
作者:
Zhao, Weidong
;
Zhang, Wei
;
Zhang, Guannan
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  |  
浏览/下载:8/0
  |  
提交时间:2019/12/12
Decoupled FBSDEs with Levy jumps
Backward Kolmogorov equation
Non-linear Feynman-Kac formula
Second-order convergence
Error
estimates
Solution to Discrete-Time Linear FBSDEs with Application to Stochastic Control Problem
期刊论文
IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 2017, 卷号: 62, 期号: 12, 页码: 6602-6607
作者:
Xu, Juanjuan
;
Xie, Lihua
;
Zhang, Huanshui
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  |  
浏览/下载:3/0
  |  
提交时间:2019/12/12
Exponential stabilizability
forward and backward stochastic difference
equations (FBSDEs)
infinite horizon
stochastic optimal control
Linear Quadratic Gaussian Control for Discrete-time Systems with Delay and Multiplicative Noise
期刊论文
IFAC PAPERSONLINE, 2017, 卷号: 50, 期号: 1, 页码: 3847-3852
作者:
Liang, Xiao
;
Xu, Juanjuan
;
Zhang, Huanshui
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  |  
浏览/下载:7/0
  |  
提交时间:2019/12/12
LQG control
FBSDEs
discrete-time system
multiplicative noise
input
delay
Reflected forward-backward stochastic differential equations and related PDEs
期刊论文
STOCHASTIC ANALYSIS AND APPLICATIONS, 2016, 卷号: 34, 期号: 5, 页码: 906-926
作者:
Li, Wenqiang
;
Peng, Ying
;
Liu, Junbo
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  |  
浏览/下载:4/0
  |  
提交时间:2019/12/17
Forward-backward stochastic differential equations
reflected backward
stochastic differential equations
reflected forward-backward stochastic
differential equations (reflected FBSDEs)
comparison theorem
viscosity
solution
Probabilistic High Order Numerical Schemes for Fully Nonlinear Parabolic PDEs
期刊论文
COMMUNICATIONS IN COMPUTATIONAL PHYSICS, 2015, 卷号: 18, 期号: 5, 页码: 1482-1503
作者:
Kong, Tao
;
Zhao, Weidong
;
Zhou, Tao
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  |  
浏览/下载:17/0
  |  
提交时间:2018/07/30
Fully nonlinear parabolic PDEs
second order FBSDEs
probabilistic interpretations
probabilistic numerical schemes
Solutions for functional fully coupled forward-backward stochastic differential equations
期刊论文
Statistics & Probability Letters, 2015, 页码: 70-76
作者:
Ji, Shaolin
;
Yang, Shuzhen
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  |  
浏览/下载:3/0
  |  
提交时间:2019/12/17
Forward-backward stochastic differential equations (FBSDEs)
Monotonicity conditions
Continuation method
Solutions for functional fully coupled forward-backward stochastic differential equations
期刊论文
STATISTICS & PROBABILITY LETTERS, 2015, 卷号: 99, 页码: 70-76
作者:
Ji, Shaolin
;
Yang, Shuzhen
收藏
  |  
浏览/下载:1/0
  |  
提交时间:2019/12/17
Forward-backward stochastic differential equations (FBSDEs)
Monotonicity conditions
Continuation method
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