机构

• 数学与系统科学研究... [10]

采集方式

• OAI收割 [10]

内容类型

• 期刊论文 [10]

发表日期

• 2021 [2]
• 2018 [2]
• 2017 [1]
• 2016 [1]
• 2013 [1]
• 2010 [1]
• 更多

学科主题

筛选

浏览/检索结果: 共10条，第1-10条 帮助 条数/页： 5101520253035404550556065707580859095100 排序方式： 请选择题名升序题名降序提交时间升序提交时间降序作者升序作者降序发表日期升序发表日期降序 Social Optima in Robust Mean Field LQG Control: From Finite to Infinite Horizon 期刊论文  OAI收割 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   |  收藏  |  浏览/下载：37/0  |  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   KALMAN-BUCY FILTERING AND MINIMUM MEAN SQUARE ESTIMATOR UNDER UNCERTAINTY 期刊论文  OAI收割 SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 2021, 卷号: 59, 期号: 4, 页码: 2669-2692 作者:  Ji, Shaolin;  Kong, Chuiliu;  Sun, Chuanfeng;  Zhang, Ji-Feng   |  收藏  |  浏览/下载：17/0  |  提交时间：2022/04/02 Kalman-Bucy filtering  minimum mean square estimator  drift uncertainty  convex operator  minimax theorem  backward stochastic differential equation   EXPLICIT theta-SCHEMES FOR MEAN-FIELD BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS 期刊论文  OAI收割 SIAM JOURNAL ON NUMERICAL ANALYSIS, 2018, 卷号: 56, 期号: 4, 页码: 2672-2697 作者:  Sun, Yabing;  Zhao, Weidong;  Zhou, Tao   |  收藏  |  浏览/下载：25/0  |  提交时间：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  OAI收割 STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC PROCESSES, 2018, 卷号: 90, 期号: 1, 页码: 1-28 作者:  Liu, Guoping   |  收藏  |  浏览/下载：20/0  |  提交时间：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  OAI收割 Journal of Inequalities and Applications, 2017, 卷号: 2017, 期号: 1 作者:  Wang,Yanqing   |  收藏  |  浏览/下载：16/0  |  提交时间：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  OAI收割 JOURNAL OF SCIENTIFIC COMPUTING, 2016, 卷号: 69, 期号: 2, 页码: 651-672 作者:  Fu, Yu;  Zhao, Weidong;  Zhou, Tao   |  收藏  |  浏览/下载：29/0  |  提交时间：2018/07/30 Multistep scheme  Jump-diffusion process  Forward backward stochastic differential equation with jumps   Reflected BSDEs with random default time and related mixed optimal stopping-control problems 期刊论文  OAI收割 ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES, 2013, 卷号: 29, 期号: 1, 页码: 165-178 作者:  Guo Dongmei;  Xu Xiaoming   |  收藏  |  浏览/下载：24/0  |  提交时间：2021/01/14 STOCHASTIC DIFFERENTIAL-EQUATIONS  RISK  backward stochastic differential equation  random default time  mixed optimal stopping-control problem   Reflected BSDE with a constraint and its applications in an incomplete market 期刊论文  OAI收割 BERNOULLI, 2010, 卷号: 16, 期号: 3, 页码: 614-640 作者:  Peng, Shige;  Xu, Mingyu   |  收藏  |  浏览/下载：17/0  |  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   Sobolev solution for semilinear PDE with obstacle under monotonicity condition 期刊论文  OAI收割 ELECTRONIC JOURNAL OF PROBABILITY, 2008, 卷号: 13, 页码: 1035-1067 作者:  Matoussi, Anis;  Xu, Mingyu   |  收藏  |  浏览/下载：12/0  |  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  OAI收割 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：17/0  |  提交时间：2018/07/30 mean-variance efficient portfolio  martingale approach  forward-backward stochastic differential equation (FBSDE)  insurer