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中国科学院数学与系统科学研究院机构知识库
KMS Of Academy of mathematics and systems sciences, CAS
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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
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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
KALMAN-BUCY FILTERING AND MINIMUM MEAN SQUARE ESTIMATOR UNDER UNCERTAINTY
期刊论文
SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 2021, 卷号: 59, 期号: 4, 页码: 2669-2692
Authors:
Ji, Shaolin
;
Kong, Chuiliu
;
Sun, Chuanfeng
;
Zhang, Ji-Feng
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View/Download:18/0
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Submit date:2022/04/02
Kalman-Bucy filtering
minimum mean square estimator
drift uncertainty
convex operator
minimax theorem
backward stochastic differential equation
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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Submit date:2021/01/14
Mean field game
Variational analysis
Stabilization control
FBSDE
Riccati equation
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
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View/Download:46/0
  |  
Submit date:2020/05/24
Forward backward stochastic differential equations
stochastic optimal control
stochastic maximum principle
projected quasi-Newton methods
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
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  |  
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
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Submit date:2018/07/30
Navier-Stokes-alpha equation
vorticity equation
forward-backward stochastic differential equations
Feynman-Kac formula
A stochastic Fubini theorem: BSDE method
期刊论文
Journal of Inequalities and Applications, 2017, 卷号: 2017, 期号: 1
Authors:
Wang,Yanqing
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Submit date:2018/07/30
stochastic Fubini theorem
backward stochastic differential equation
random jumps
60H05
65C30
Multistep Schemes for Forward Backward Stochastic Differential Equations with Jumps
期刊论文
JOURNAL OF SCIENTIFIC COMPUTING, 2016, 卷号: 69, 期号: 2, 页码: 651-672
Authors:
Fu, Yu
;
Zhao, Weidong
;
Zhou, Tao
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Submit date:2018/07/30
Multistep scheme
Jump-diffusion process
Forward backward stochastic differential equation with jumps
Probabilistic High Order Numerical Schemes for Fully Nonlinear Parabolic PDEs
期刊论文
COMMUNICATIONS IN COMPUTATIONAL PHYSICS, 2015, 卷号: 18, 期号: 5, 页码: 1482-1503
Authors:
Kong, Tao
;
Zhao, Weidong
;
Zhou, Tao
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View/Download:32/0
  |  
Submit date:2018/07/30
Fully nonlinear parabolic PDEs
second order FBSDEs
probabilistic interpretations
probabilistic numerical schemes
Reflected BSDEs with random default time and related mixed optimal stopping-control problems
期刊论文
ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES, 2013, 卷号: 29, 期号: 1, 页码: 165-178
Authors:
Guo Dongmei
;
Xu Xiaoming
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View/Download:24/0
  |  
Submit date:2021/01/14
STOCHASTIC DIFFERENTIAL-EQUATIONS
RISK
backward stochastic differential equation
random default time
mixed optimal stopping-control problem