Results 41 to 50 of about 3,305 (167)
Anticipated backward stochastic differential equations
The Annals of Probability, 2009 Published in at http://dx.doi.org/10.1214/08-AOP423 the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org)
Peng, Shige, Yang, Zhe
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Averaging principle for two-time-scale stochastic differential equations with correlated noise
Open Mathematics, 2022 This article is devoted to studying the averaging principle for two-time-scale stochastic differential equations with correlated noise. By the technique of multiscale expansion of the solution to the backward Kolmogorov equation and consequent ...
Jiang Tao, Liu Yancai
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Abstract and Applied Analysis, 2013 We consider the stochastic optimal control problems under G-expectation. Based on the theory of backward stochastic differential equations driven by G-Brownian motion, which was introduced in Hu et al.
Zhonghao Zheng +2 more
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Maximum principle for delayed stochastic mean-field control problem with state constraint
Advances in Difference Equations, 2019 In this paper, we consider the optimal control problem for the mean-field stochastic differential equations with delay and state constraint. By virtue of the classical Ekeland’s variational principle, the duality method and a new type of mean-field ...
Li Chen, Jiandong Wang
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Backward doubly stochastic differential equations with jumps and stochastic partial differential-integral equations [PDF]
Chinese Annals of Mathematics, Series B, 2012 19 ...
Zhu, Qingfeng, Shi, Yufeng
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Non-smooth analysis method in optimal investment-BSDE approach
Advances in Difference Equations, 2018 In this paper, the investment process is modeled by backward stochastic differential equation. We investigate a necessary condition for optimal investment problem by the method of non-smooth analysis.
Helin Wu, Yong Ren, Feng Hu
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Backward stochastic differential equations with unbounded generators [PDF]
Stochastics and Dynamics, 2019 In this paper, we consider two classes of backward stochastic differential equations (BSDEs). First, under a Lipschitz-type condition on the generator of the equation, which can also be unbounded, we give sufficient conditions for the existence of a unique solution pair. The method of proof is that of Picard iterations and the resulting conditions are
Gashi, B, Li, J
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Infinite Horizon Optimal Control of Stochastic Delay Evolution Equations in Hilbert Spaces
Abstract and Applied Analysis, 2013 The aim of the present paper is to study an infinite horizon optimal control problem in which the controlled state dynamics is governed by a stochastic delay evolution equation in Hilbert spaces.
Xueping Zhu, Jianjun Zhou
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Advances in Difference Equations, 2019 This paper is concerned with a kind of non-zero sum differential game driven by mean-field backward stochastic differential equation (MF-BSDE) with asymmetric information, whose novel feature is that both the state equation and the cost functional are of
Pengyan Huang +2 more
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Backward stochastic variational inequalities driven by multidimensional fractional Brownian motion [PDF]
Opuscula Mathematica, 2018 We study the existence and uniqueness of the backward stochastic variational inequalities driven by \(m\)-dimensional fractional Brownian motion with Hurst parameters \(H_k\) (\(k=1,\ldots m\)) greater than \(1/2\).
Dariusz Borkowski +1 more
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