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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:40/0  |  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  
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
Favorite  |  View/Download:18/0  |  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
Favorite  |  View/Download:37/0  |  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
Favorite  |  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
Favorite  |  View/Download:52/0  |  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
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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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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
Favorite  |  View/Download:38/0  |  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
Favorite  |  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
Favorite  |  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