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Extended backward stochastic Volterra integral equations and their applications to time-inconsistent stochastic recursive control problems

Extended backward stochastic Volterra integral equations and their applications to time-inconsistent stochastic recursive control problems
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On Solutions of Integral Equations with an Extended Stochastic Integral

Theory of Probability and Its Applications, 1996
The article is devoted to the integral equations of the second kind with the extended (Skorokhod) stochastic integral. It is proved, that in some cases the generalized solution in the Hida sense can be considered as a usual random process without finite second moment.
A A Dorogovtsev
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Itô Formula for an Extended Stochastic Integral with Nonanticipating Kernel

Theory of Probability and Its Applications, 1995
Soit \(\Omega = C_0 ([0,1])\), \(P\) la mesure de Wiener et \(\mathfrak F\) la tribu des boréliens de \(\Omega\) complétée pour \(P\), \((W_t)_{t \in [0,1]}\) un mouvement brownien réel standard. Si \(F \in \mathbb{L}^2 (\Omega)\), on peut développer \(F\) en série d'intégrales itérées \(F = \sum^\infty_{k = 0} I_k (f_k)\).
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Extended Thorin classes and stochastic integrals

Lithuanian Mathematical Journal, 2007
Extended Thorin classes T ϰ (R d ), ϰ > 0, of infinitely divisible probability laws on R d are defined and analytically characterized in [6]. Using general results from [8] and [9], in this paper, we derive a stochastic integral representation of these classes.
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Stochastic stability and extended dissipativity analysis for uncertain neutral systems with semi‐Markovian jumping parameters via novel free matrix–based integral inequality

International Journal of Robust and Nonlinear Control, 2019
SummaryThis paper investigates the issues of stochastic stability and extended dissipativity analysis for uncertain neutral systems with semi‐Markovian jumping parameters. A new criterion about the stochastic stability and extended dissipativity of uncertain neutral systems with semi‐Markovian jumping parameters is obtained based on the new Lyapunov ...
Lianglin Xiong, Haiyang Zhang
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Extended stochastic integral in Wiener space

1996
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Extended vector stochastic integral in Sobolev spaces of Wiener functionals

1996
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Localization of the extended stochastic integral

Sbornik: Mathematics, 2006
A sufficient condition for the localization of the extended stochastic integral with respect to a Gaussian measure in an infinite-dimensional space is presented. In the finite-dimensional case, for a vector field? in the Sobolev class a condition ensuring the vanishing divergence of? at the zero set of the field itself is presented.
A M Gomilko, A A Dorogovtsev
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Stochastic stability and extended dissipativity analysis for delayed neural networks with markovian jump via novel integral inequality

Journal of the Franklin Institute, 2022
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Yingying Liu, Lianglin Xiong, Tao Wu 0012, Haiyang Zhang 0002   +3 more
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The time-dependent j-flux method for stochastic simulations of multistage bimolecular photoinduced electron transfer within the extended integral encounter theory

AIP Conference Proceedings, 2018
Serguei Feskov
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