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山东大学 [10]
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期刊论文 [10]
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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.
收藏
  |  
浏览/下载:8/0
  |  
提交时间:2019/12/11
Forward-backward doubly stochastic differential equations
Itô-Lévy processes
linear quadratic problem
maximum principle
variational equation
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
Optimal control of backward doubly stochastic system
期刊论文
IET CONTROL THEORY AND APPLICATIONS, 2019, 卷号: 13, 期号: 12, 页码: 1844-1854
作者:
Wang, Wencan
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  |  
浏览/下载:15/0
  |  
提交时间:2019/12/11
stochastic processes
linear quadratic control
maximum principle
optimal control
stochastic systems
variational techniques
differential equations
sufficient condition
forward doubly stochastic
differential equation
forward-backward doubly stochastic differential
equation
optimal harvesting problem
linear-quadratic optimal control
problem
backward doubly stochastic system
control domain
classical
spike variation
duality technique
necessary condition
DIFFERENTIAL GAMES OF PARTIAL INFORMATION FORWARD-BACKWARD DOUBLY SDE AND APPLICATIONS
期刊论文
ESAIM: Control, optimization and calculus of variations, 2014, 卷号: 20, 期号: 1, 页码: 78-94
作者:
Eddie C.M. Hui
;
Hua Xiao
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  |  
浏览/下载:8/0
  |  
提交时间:2019/12/17
Stochastic differential game
partial information
forward-backward doubly stochastic differential equation
equilibrium point
stochastic filtering
PARTIALLY OBSERVED OPTIMAL CONTROLS OF FORWARD- BACKWARD DOUBLY STOCHASTIC SYSTEMS
期刊论文
ESAIM-CONTROL OPTIMISATION AND CALCULUS OF VARIATIONS, 2013, 卷号: 19, 期号: 3, 页码: 828-843
作者:
Shi, Yufeng
;
Zhu, Qingfeng
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  |  
浏览/下载:3/0
  |  
提交时间:2019/12/23
Forward-backward doubly stochastic system
partially observed optimal
control
maximum principle
adjoint equation
Forward-backward doubly stochastic differential equations and related stochastic partial differential equations
期刊论文
SCIENCE CHINA-MATHEMATICS, 2012, 卷号: 55, 期号: 12, 页码: 2517-2534
作者:
Zhu QingFeng
;
Shi YuFeng
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  |  
浏览/下载:5/0
  |  
提交时间:2019/12/23
forward-backward doubly stochastic differential equations
bridge
measurable solution
stochastic partial differential equations
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
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  |  
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
MAXIMUM PRINCIPLE FOR FORWARD-BACKWARD DOUBLY STOCHASTIC CONTROL SYSTEMS AND APPLICATIONS
期刊论文
ESAIM: Control, optimization and calculus of variations, 2011, 卷号: 17, 期号: 4, 页码: 1174-1197
作者:
Liangquan Zhang
;
Yufeng Shi
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  |  
浏览/下载:3/0
  |  
提交时间:2019/12/23
maximum principle
stochastic optimal control
forward-backward doubly stochastic differential equa-tions
spike variations
variational equations
stochastic partial differential equations
nonzero sum stochastic differential game
Solutions to general forward-backward doubly stochastic differential equations
期刊论文
应用数学和力学(英文版), 2009, 卷号: 30, 期号: 4, 页码: 517-526
作者:
Zhu, Qing-feng
;
Shi, Yu-feng
;
gong, Xian-jun
收藏
  |  
浏览/下载:7/0
  |  
提交时间:2019/12/26
forward-backward doubly stochastic differential equations
method of con-tinuation
H-monotone
Solutions to general forward-backward doubly stochastic differential equations
期刊论文
Applied Mathematics and Mechanics(English Edition), 2009, 期号: 04, 页码: 517-526
作者:
Zhu QF(朱庆峰)
;
Shi YF(石玉峰)
;
Gong XJ(宫献军)
收藏
  |  
浏览/下载:1/0
  |  
提交时间:2019/12/26
forward-backward doubly stochastic differential equations
method of continuation
H-monotone
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