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科研机构
山东大学 [8]
数学与系统科学研究院 [2]
福州大学 [1]
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期刊论文 [11]
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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
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
  |  
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
G-expectation weighted Sobolev spaces, backward SDE and path dependent PDE
期刊论文
JOURNAL OF THE MATHEMATICAL SOCIETY OF JAPAN, 2015, 卷号: 67, 期号: 4, 页码: 1725-1757
作者:
Peng, Shige
;
Song, Yongsheng
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  |  
浏览/下载:18/0
  |  
提交时间:2018/07/30
backward SDEs
partial differential equations
path dependent PDEs
G-expectation
G-martingale
Sobolev space
G-Sobolev space
Numerical stationary distribution and its convergence for nonlinear stochastic differential equations
期刊论文
JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, 2015, 卷号: 276, 页码: 16-29
作者:
Liu, Wei
;
Mao, Xuerong
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浏览/下载:3/0
  |  
提交时间:2019/11/21
Weak convergence
Numerical stationary distribution
Nonlinear SDEs
The backward Euler-Maruyama method
A FIRST ORDER SEMI-DISCRETE ALGORITHM FOR BACKWARD DOUBLY STOCHASTIC DIFFERENTIAL EQUATIONS
期刊论文
Discrete and continuous dynamical systems, Series B, 2015, 卷号: 20, 期号: 5, 页码: 1297-1313
作者:
Bao, Feng
;
Cao, Yanzhao
;
Zhao, Weidong
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  |  
浏览/下载:2/0
  |  
提交时间:2019/12/17
SPDEs
Zakai equation
backward SDEs
SPDEs
conditional expectation
ON WELL-POSEDNESS OF FORWARD-BACKWARD SDES-A UNIFIED APPROACH
期刊论文
The Annals of applied probability: an official journal of the Institute of Mathematical Statistics, 2015, 卷号: 25, 期号: 4, 页码: 2168-2214
作者:
Ma, Jin
;
Wu, Zhen
;
Zhang, Detao
;
Zhang, Jianfeng
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  |  
浏览/下载:5/0
  |  
提交时间:2019/12/17
Forward-backward SDEs
decoupling random fields
characteristic BSDEs
backward stochastic Riccati equations
comparison theorem
G-expectation weighted Sobolev spaces, backward SDE and path dependent PDE
期刊论文
JOURNAL OF THE MATHEMATICAL SOCIETY OF JAPAN, 2015, 卷号: 67, 期号: 4, 页码: 1725-1757
作者:
Peng, Shige
;
Song, Yongsheng
收藏
  |  
浏览/下载:3/0
  |  
提交时间:2019/12/17
backward SDEs
partial differential equations
path dependent PDEs
G-expectation
G-martingale
Sobolev space
G-Sobolev space
NUMERICAL SOLUTIONS FOR FORWARD BACKWARD DOUBLY STOCHASTIC DIFFERENTIAL EQUATIONS AND ZAKAI EQUATIONS
期刊论文
INTERNATIONAL JOURNAL FOR UNCERTAINTY QUANTIFICATION, 2011, 卷号: 1, 期号: 4, 页码: 351-367
作者:
Bao, Feng
;
Cao, Yanzhao
;
Zhao, Weidong
收藏
  |  
浏览/下载:3/0
  |  
提交时间:2019/12/23
SPDEs
Zakai equation
backward SDEs
forward backward doubly stochastic
differential equations
conditional expectation
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