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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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Analytical Expressions to Counterparty Credit Risk Exposures for Interest Rate Derivatives
期刊论文
ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES, 2022, 卷号: 38, 期号: 2, 页码: 254-270
作者:
Li, Shuang
;
Peng, Cheng
;
Bao, Ying
;
Zhao, Yan-long
;
Cao, Zhen
收藏
  |  
浏览/下载:114/0
  |  
提交时间:2022/06/21
forward rate agreement
counterparty credit risk
expected exposure
potential future exposure
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
作者:
Wang, Bing-Chang
;
Huang, Jianhui
;
Zhang, Ji-Feng
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浏览/下载:174/0
  |  
提交时间: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
作者:
Sun, Yabing
;
Yang, Jie
;
Zhao, Weidong
;
Zhou, Tao
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  |  
浏览/下载:112/0
  |  
提交时间:2022/04/02
Mean-field forward backward stochastic differential equations
Explicit multistep scheme
Error estimates
Compressed Coding, AMP-Based Decoding, and Analog Spatial Coupling
期刊论文
IEEE TRANSACTIONS ON COMMUNICATIONS, 2020, 卷号: 68, 期号: 12, 页码: 7362-7375
作者:
Liang, Shansuo
;
Liang, Chulong
;
Ma, Junjie
;
Ping, Li
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  |  
浏览/下载:229/0
  |  
提交时间:2021/04/26
Decoding
Error correction
Encoding
Error correction codes
Signal to noise ratio
Modulation
Compressed sensing
Compressed sensing
forward error control coding
approximate message passing
state evolution
area theorem and analog spatial-coupling
Time-Inconsistent Stochastic LQ Problem with Regime Switching
期刊论文
JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY, 2020, 页码: 22
作者:
Si, Binbin
;
Ni, Yuan-Hua
;
Zhang, Ji-Feng
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  |  
浏览/下载:153/0
  |  
提交时间:2020/09/23
Forward-backward stochastic difference equation
open-loop equilibrium control
regime switching
stochastic linear-quadratic problem
time inconsistency
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
作者:
Fu, Yu
;
Zhao, Weidong
;
Zhou, Tao
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浏览/下载:147/0
  |  
提交时间:2020/05/24
Forward backward stochastic differential equations
stochastic optimal control
stochastic maximum principle
projected quasi-Newton methods
Explicit expressions to counterparty credit exposures for Forward and European Option
期刊论文
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2020, 卷号: 52, 页码: 14
作者:
Li, Shuang
;
Peng, Cheng
;
Bao, Ying
;
Zhao, Yanlong
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  |  
浏览/下载:139/0
  |  
提交时间:2020/05/24
Counterparty credit exposure
Explicit expressions
Forward
European Option
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
作者:
Yang, Jie
;
Zhao, Weidong
;
Zhou, Tao
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  |  
浏览/下载:127/0
  |  
提交时间: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
作者:
Yang, Jie
;
Zhao, Weidong
;
Zhou, Tao
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  |  
浏览/下载:164/0
  |  
提交时间:2020/01/10
Deferred correction method
Second-order forward backward stochastic differential equations
Euler scheme
High-order rate of convergence
MiKM: multi-step inertial Krasnosel'skii-Mann algorithm and its applications
期刊论文
JOURNAL OF GLOBAL OPTIMIZATION, 2019, 卷号: 73, 期号: 4, 页码: 801-824
作者:
Dong, Q. L.
;
Huang, J. Z.
;
Li, X. H.
;
Cho, Y. J.
;
Rassias, Th. M.
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  |  
浏览/下载:145/0
  |  
提交时间:2020/01/10
Nonexpansive operator
Multi-step inertial Krasnosel'skii-Mann algorithm
Monotone inclusion
Bounded perturbation resilience
Douglas-Rachford splitting method
Forward-backward splitting method
Backward-forward splitting method
Davis-Yin splitting method