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Social Optima in Robust Mean Field LQG Control: From Finite to Infinite Horizon 期刊论文
IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 2021, 卷号: 66, 期号: 4, 页码: 1529-1544
Authors:  Wang, Bing-Chang;  Huang, Jianhui;  Zhang, Ji-Feng
Favorite  |  View/Download:58/0  |  Submit date:2021/06/01
Mathematical model  Games  Robustness  Uncertainty  Optimal control  Stochastic processes  Differential equations  Forward-backward stochastic differential equation (FBSDE)  linear quadratic optimal control  mean field control  model uncertainty  social functional variation  
AN EXPLICIT MULTISTEP SCHEME FOR MEAN-FIELD FORWARD-BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS 期刊论文
JOURNAL OF COMPUTATIONAL MATHEMATICS, 2021, 页码: 25
Authors:  Sun, Yabing;  Yang, Jie;  Zhao, Weidong;  Zhou, Tao
Favorite  |  View/Download:29/0  |  Submit date:2022/04/02
Mean-field forward backward stochastic differential equations  Explicit multistep scheme  Error estimates  
Mean field linear-quadratic control: Uniform stabilization and social optimality 期刊论文
AUTOMATICA, 2020, 卷号: 121, 页码: 14
Authors:  Wang, Bing-Chang;  Zhang, Huanshui;  Zhang, Ji-Feng
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Mean field game  Variational analysis  Stabilization control  FBSDE  Riccati equation  
Backward Stochastic Differential Equations Driven byG-Brownian Motion with Double Reflections 期刊论文
JOURNAL OF THEORETICAL PROBABILITY, 2020, 页码: 30
Authors:  Li, Hanwu;  Song, Yongsheng
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G-expectation  Reflected backward SDE  Approximate Skorohod condition  
Highly Accurate Numerical Schemes for Stochastic Optimal Control Via FBSDEs 期刊论文
NUMERICAL MATHEMATICS-THEORY METHODS AND APPLICATIONS, 2020, 卷号: 13, 期号: 2, 页码: 296-319
Authors:  Fu, Yu;  Zhao, Weidong;  Zhou, Tao
Favorite  |  View/Download:69/0  |  Submit date:2020/05/24
Forward backward stochastic differential equations  stochastic optimal control  stochastic maximum principle  projected quasi-Newton methods  
A UNIFIED PROBABILISTIC DISCRETIZATION SCHEME FOR FBSDEs: STABILITY, CONSISTENCY, AND CONVERGENCE ANALYSIS 期刊论文
SIAM JOURNAL ON NUMERICAL ANALYSIS, 2020, 卷号: 58, 期号: 4, 页码: 2351-2375
Authors:  Yang, Jie;  Zhao, Weidong;  Zhou, Tao
Favorite  |  View/Download:46/0  |  Submit date:2021/01/14
forward backward stochastic differential equations  numerical schemes  stability  consistency  convergence analysis  
Explicit Deferred Correction Methods for Second-Order Forward Backward Stochastic Differential Equations 期刊论文
JOURNAL OF SCIENTIFIC COMPUTING, 2019, 卷号: 79, 期号: 3, 页码: 1409-1432
Authors:  Yang, Jie;  Zhao, Weidong;  Zhou, Tao
Favorite  |  View/Download:70/0  |  Submit date:2020/01/10
Deferred correction method  Second-order forward backward stochastic differential equations  Euler scheme  High-order rate of convergence  
CONTROLLABILITY OF STOCHASTIC GAME-BASED CONTROL SYSTEMS 期刊论文
SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 2019, 卷号: 57, 期号: 6, 页码: 3799-3826
Authors:  Zhang, Renren;  Guo, Lei
Favorite  |  View/Download:56/0  |  Submit date:2020/09/23
noncooperative stochastic differential games  hierarchical structure  game-based control systems  Nash equilibrium  controllability  forward-backward stochastic differential equations  
EXPLICIT theta-SCHEMES FOR MEAN-FIELD BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS 期刊论文
SIAM JOURNAL ON NUMERICAL ANALYSIS, 2018, 卷号: 56, 期号: 4, 页码: 2672-2697
Authors:  Sun, Yabing;  Zhao, Weidong;  Zhou, Tao
Favorite  |  View/Download:79/0  |  Submit date:2018/10/07
mean-field backward stochastic differential equation  theta-schemes  error estimates  
The Navier-Stokes-alpha equation via forward-backward stochastic differential systems 期刊论文
STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC PROCESSES, 2018, 卷号: 90, 期号: 1, 页码: 1-28
Authors:  Liu, Guoping
Favorite  |  View/Download:69/0  |  Submit date:2018/07/30
Navier-Stokes-alpha equation  vorticity equation  forward-backward stochastic differential equations  Feynman-Kac formula