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The Ito SDEs and Fokker-Planck equations with Osgood and Sobolev coefficients 期刊论文
STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC PROCESSES, 2018, 卷号: 90, 期号: 3, 页码: 379-410
作者:  Luo, Dejun
收藏  |  浏览/下载：183/0  |  提交时间：2018/07/30
Stochastic differential equation  Osgood and Sobolev condition  DiPerna-Lions theory  Fokker-Planck equation  stochastic flow  
Quasi-invariance of the Stochastic Flow Associated to It's SDE with Singular Time-Dependent Drift 期刊论文
JOURNAL OF THEORETICAL PROBABILITY, 2015, 卷号: 28, 期号: 4, 页码: 1743-1762
作者:  Luo, Dejun
收藏  |  浏览/下载：121/0  |  提交时间：2018/07/30
Stochastic differential equation  Strong solution  Flow of homeomorphisms  Quasi-invariance  Zvonkin-type transformation  
Fokker-Planck type equations with Sobolev diffusion coefficients and BV drift coefficients 期刊论文
ACTA MATHEMATICA SINICA-ENGLISH SERIES, 2013, 卷号: 29, 期号: 2, 页码: 303-314
作者:  Luo De Jun
收藏  |  浏览/下载：94/0  |  提交时间：2021/01/14
VECTOR-FIELDS  TRANSPORT-EQUATION  CAUCHY-PROBLEM  DIPERNA-LIONS  UNIQUENESS  SPACES  DEGENERATE  EXISTENCE  DiPerna-Lions theory  Fokker-Planck equation  stochastic differential equation  BV regularity  commutator estimate  
Absolute continuity under flows generated by SDE with measurable drift coefficients 期刊论文
STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2011, 卷号: 121, 期号: 10, 页码: 2393-2415
作者:  Luo, Dejun
收藏  |  浏览/下载：137/0  |  提交时间：2018/07/30
Stochastic differential equation  Strong solution  Density estimate  Limit theorem  Fokker-Planck equation  
Reflected BSDE with a constraint and its applications in an incomplete market 期刊论文
BERNOULLI, 2010, 卷号: 16, 期号: 3, 页码: 614-640
作者:  Peng, Shige;  Xu, Mingyu
收藏  |  浏览/下载：102/0  |  提交时间：2018/07/30
American options in an incomplete market  backward stochastic differential equation with a constraint  reflected backward stochastic differential equation  
WELL-POSEDNESS OF FOKKER-PLANCK TYPE EQUATIONS ON THE WIENER SPACE 期刊论文
INFINITE DIMENSIONAL ANALYSIS QUANTUM PROBABILITY AND RELATED TOPICS, 2010, 卷号: 13, 期号: 2, 页码: 273-304
作者:  Luo, Dejun
收藏  |  浏览/下载：116/0  |  提交时间：2018/07/30
Fokker-Planck equation  Malliavin calculus  commutator estimate  stochastic differential equation  
Quasi-invariance of Lebesgue measure under the homeomorphic flow generated by SDE with non-Lipschitz coefficient 期刊论文
BULLETIN DES SCIENCES MATHEMATIQUES, 2009, 卷号: 133, 期号: 3, 页码: 205-228
作者:  Luo, Dejun
收藏  |  浏览/下载：126/0  |  提交时间：2018/07/30
Stochastic flow  Stochastic differential equation  Quasi-invariance of measure  Non-Lipschitz condition  Fokker-Planck equation  
Sobolev solution for semilinear PDE with obstacle under monotonicity condition 期刊论文
ELECTRONIC JOURNAL OF PROBABILITY, 2008, 卷号: 13, 页码: 1035-1067
作者:  Matoussi, Anis;  Xu, Mingyu
收藏  |  浏览/下载：101/0  |  提交时间：2018/07/30
backward stochastic differential equation  reflected backward stochastic differential equation  monotonicity condition  stochastic flow  partial differential equation with obstacle  
Optimal investment for an insurer: The martingale approach 期刊论文
INSURANCE MATHEMATICS & ECONOMICS, 2007, 卷号: 40, 期号: 2, 页码: 322-334
作者:  Wang, Zengwu;  Xia, Jianming;  Zhang, Lihong
收藏  |  浏览/下载：125/0  |  提交时间：2018/07/30
mean-variance efficient portfolio  martingale approach  forward-backward stochastic differential equation (FBSDE)  insurer