Zhang, Liangquan Stochastic recursive optimal control of McKean-Vlasov type: a viscosity solution approach. (English) Zbl 07923494 J. Differ. Equations 409, 334-394 (2024). MSC: 93E20 60H15 60H30 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Bouanani, Hafida; Kebiri, Omar; Hartmann, Carsten; Redjil, Amel Optimal relaxed control for a decoupled \(G\)-FBSDE. (English) Zbl 07922474 J. Optim. Theory Appl. 202, No. 3, 1027-1059 (2024). MSC: 60H10 93E20 91G80 91B70 × Cite Format Result Cite Review PDF Full Text: DOI OA License
Chen, Tian; Du, Kai; Wu, Zhen Partially observed mean-field game and related mean-field forward-backward stochastic differential equation. (English) Zbl 07919101 J. Differ. Equations 408, 409-448 (2024). MSC: 91A16 60H30 × Cite Format Result Cite Review PDF Full Text: DOI
Zhang, Shuaiqi; Chen, Zhen-Qing Stochastic maximum principle for fully coupled forward-backward stochastic differential equations driven by subdiffusion. (English) Zbl 07916657 SIAM J. Control Optim. 62, No. 5, 2433-2455 (2024). MSC: 93E20 60H10 49K45 × Cite Format Result Cite Review PDF Full Text: DOI
Aidara, Sadibou; Sylla, Lamine BSDEs driven by fractional Brownian motion with time-delayed generators. (English) Zbl 07915834 Appl. Anal. 103, No. 4, 724-733 (2024). MSC: 60H05 60H10 60G22 60G44 × Cite Format Result Cite Review PDF Full Text: DOI
Li, Pei Sen; Li, Zeng Hu Uniqueness problem for the backward differential equation of a continuous-state branching process. (English) Zbl 07914953 Acta Math. Sin., Engl. Ser. 40, No. 8, 1825-1836 (2024). MSC: 60J80 60H20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Han, Qiang; Ji, Shaolin Novel multi-step predictor-corrector schemes for backward stochastic differential equations. (English) Zbl 07912563 Commun. Nonlinear Sci. Numer. Simul. 139, Article ID 108269, 16 p. (2024). MSC: 60H35 65C30 60H10 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Li, Xingjian; Verma, Deepanshu; Ruthotto, Lars A neural network approach for stochastic optimal control. (English) Zbl 07906815 SIAM J. Sci. Comput. 46, No. 5, C535-C556 (2024). MSC: 35F21 35R60 49M99 68T07 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Aidara, Sadibou; Ndiaye, Bidji; Sow, Ahmadou Bamba Averaging principle for BSDEs driven by fractional Brownian motion with non Lipschitz coefficients. (English) Zbl 07906598 Electron. J. Math. Anal. Appl. 12, No. 1, Paper No. 7, 12 p. (2024). MSC: 60H05 60H07 60G22 × Cite Format Result Cite Review PDF Full Text: DOI
Wang, Hanxiao; Yong, Jiongmin; Zhou, Chao Optimal controls for forward-backward stochastic differential equations: time-inconsistency and time-consistent solutions. (English. French summary) Zbl 07906238 J. Math. Pures Appl. (9) 190, Article ID 103603, 60 p. (2024). MSC: 93E20 60H10 60H20 45D05 35K10 49L12 91A65 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Hu, Ying; Wen, Jiaqiang; Xiong, Jie Backward doubly stochastic differential equations and SPDEs with quadratic growth. (English) Zbl 07904808 Stochastic Processes Appl. 175, Article ID 104405, 22 p. (2024). MSC: 60H10 60H15 60H30 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Feng, Siqi; Gao, Lei; Wang, Guangchen; Xiao, Hua Maximum principle for stochastic control system with elephant memory and jump diffusion. (English) Zbl 07903363 J. Syst. Sci. Complex. 37, No. 4, 1392-1412 (2024). MSC: 93E20 60H30 91A15 × Cite Format Result Cite Review PDF Full Text: DOI
Wang, Yu Linear-quadratic Pareto cooperative game for mean-field backward stochastic system. (English) Zbl 07903341 J. Syst. Sci. Complex. 37, No. 3, 947-964 (2024). MSC: 91A12 91A23 60H30 91G10 × Cite Format Result Cite Review PDF Full Text: DOI
Li, Zixuan; Shi, Jingtao Closed-loop solvability of linear quadratic mean-field type Stackelberg stochastic differential games. (English) Zbl 07898811 Appl. Math. Optim. 90, No. 1, Paper No. 22, 45 p. (2024). MSC: 91A16 91A15 91A65 93E20 49N10 49N80 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Huang, Zhen; Wang, Ying; Lin, Xiangyun The maximum principle for optimal control of mean-field FBSDE driving by Teugels martingales with terminal state constraints. (English) Zbl 07895175 Optim. Control Appl. Methods 45, No. 4, 1639-1654 (2024). MSC: 93-XX × Cite Format Result Cite Review PDF Full Text: DOI
Xu, Jie; Zhang, Rui; Lin, Ruiqiang Non-zero-sum differential games of delayed backward doubly stochastic systems and their application. (English) Zbl 07892508 Asian J. Control 26, No. 2, 873-887 (2024). MSC: 93-XX × Cite Format Result Cite Review PDF Full Text: DOI
El Asri, Brahim; Ourkiya, Nacer Mixed zero-sum stochastic differential game and doubly reflected BSDEs with a specific generator. (English) Zbl 07889784 Dyn. Games Appl. 14, No. 3, 549-577 (2024). MSC: 91A10 91A15 60H30 49L25 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Fan, Shengjun; Hu, Ying; Tang, Shanjian Scalar BSDEs of iterated-logarithmically sub-linear generators with integrable terminal values. (English) Zbl 07885782 Syst. Control Lett. 188, Article ID 105805, 9 p. (2024). MSC: 93E03 93C15 60H10 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Šiška, David; Szpruch, Łukasz Gradient flows for regularized stochastic control problems. (English) Zbl 07885156 SIAM J. Control Optim. 62, No. 4, 2036-2070 (2024). MSC: 93E20 60H30 37L40 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Wang, Ning; Zhang, Yumo Robust asset-liability management games for \(n\) players under multivariate stochastic covariance models. (English) Zbl 07882275 Insur. Math. Econ. 117, 67-98 (2024). MSC: 91G05 91A15 60H30 × Cite Format Result Cite Review PDF Full Text: DOI
Zhou, Hao; Hu, Yaozhong; Zhao, Jingjun Numerical method for singular drift stochastic differential equation driven by fractional Brownian motion. (English) Zbl 1540.60164 J. Comput. Appl. Math. 447, Article ID 115902, 13 p. (2024). MSC: 60H35 65C30 65L20 × Cite Format Result Cite Review PDF Full Text: DOI
Hu, Mingshang; Ji, Shaolin; Li, Xiaojuan BSDEs driven by \(G\)-Brownian motion under degenerate case and its application to the regularity of fully nonlinear PDEs. (English) Zbl 07876047 Trans. Am. Math. Soc. 377, No. 5, 3287-3323 (2024). MSC: 60H10 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Ackermann, Julia; Kruse, Thomas; Urusov, Mikhail Reducing Obizhaeva-Wang-type trade execution problems to LQ stochastic control problems. (English) Zbl 07874610 Finance Stoch. 28, No. 3, 813-863 (2024). MSC: 91G15 93E20 49N10 60H30 × Cite Format Result Cite Review PDF Full Text: DOI arXiv OA License
Chen, Cui; Yu, Zhiyong Exact controllability for mean-field type linear game-based control systems. (English) Zbl 1540.60107 Appl. Math. Optim. 90, No. 1, Paper No. 3, 34 p. (2024). MSC: 60H10 49N10 93B05 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Xiao, Xu; Qiu, Wenlin; Nikan, Omid Numerical approximation based on deep convolutional neural network for high-dimensional fully nonlinear merged PDEs and 2BSDEs. (English) Zbl 07869373 Math. Methods Appl. Sci. 47, No. 7, 6184-6204 (2024). MSC: 65M22 60H15 65C30 68T07 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Chen, Zengjing; Feng, Xinwei; Li, Han; Xie, Shijie A theoretical model for a vane with stochastic rotation. (English) Zbl 07868611 Physica D 466, Article ID 134218, 5 p. (2024). MSC: 60H10 × Cite Format Result Cite Review PDF Full Text: DOI
Wang, Yu Null controllability for stochastic coupled systems of fourth order parabolic equations. (English) Zbl 07867891 J. Math. Anal. Appl. 538, No. 2, Article ID 128426, 27 p. (2024). MSC: 93B05 93B07 93C20 35K25 35R60 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
di Nunno, Giulia; Giordano, Michele Stochastic Volterra equations with time-changed Lévy noise and maximum principles. (English) Zbl 07859373 Ann. Oper. Res. 336, No. 1-2, 1265-1287 (2024). MSC: 60H10 60H20 93E20 60G60 91B70 × Cite Format Result Cite Review PDF Full Text: DOI arXiv OA License
Wan, Hexiang; Wang, Guangchen; Xiong, Jie A branching particle system approximation for solving partially observed stochastic optimal control problems via stochastic maximum principle. (English) Zbl 1537.93796 Stoch. Partial Differ. Equ., Anal. Comput. 12, No. 1, 675-735 (2024). MSC: 93E20 60H15 × Cite Format Result Cite Review PDF Full Text: DOI
Zhang, Yumo Non-zero-sum stochastic differential games for asset-liability management with stochastic inflation and stochastic volatility. (English) Zbl 1537.91292 Methodol. Comput. Appl. Probab. 26, No. 1, Paper No. 7, 47 p. (2024). MSC: 91G10 91A15 93E20 60H30 × Cite Format Result Cite Review PDF Full Text: DOI
Xu, Maozhong; Tang, Maoning; Meng, Qingxin Forward-backward stochastic evolution equations in infinite dimensions and application to LQ optimal control problems. (English) Zbl 1537.93337 Syst. Control Lett. 185, Article ID 105748, 11 p. (2024). MSC: 93C15 60H10 93C35 49N10 × Cite Format Result Cite Review PDF Full Text: DOI
Zhang, Yumo Robust optimal asset-liability management under square-root factor processes and model ambiguity: a BSDE approach. (English) Zbl 1539.91126 Stoch. Models 40, No. 2, 167-223 (2024). MSC: 91G15 93E20 60H30 91G05 × Cite Format Result Cite Review PDF Full Text: DOI
Li, Na; Wang, Shujun Linear-quadratic stochastic Stackelberg games of \(N\) players for time-delay systems and related FBSDEs. (English) Zbl 1536.91043 Appl. Math. Optim. 89, No. 3, Paper No. 67, 47 p. (2024). MSC: 91A15 91A65 91A06 49N10 × Cite Format Result Cite Review PDF Full Text: DOI
Pak, Ji-Gwon; Kim, Mun-Chol; Kim, Kon-Gun Wellposedness of anticipated BSDEs with quadratic growth and unbounded terminal value. (English) Zbl 1534.60077 Braz. J. Probab. Stat. 38, No. 1, 108-127 (2024). MSC: 60H10 × Cite Format Result Cite Review PDF Full Text: DOI
Jin, Sixian; Song, Qingshuo Stochastic maximum principle for a time-changed mean field game. (English) Zbl 1536.91047 Math. Control Relat. Fields 14, No. 1, 191-198 (2024). MSC: 91A16 49N80 60H10 × Cite Format Result Cite Review PDF Full Text: DOI
Li, Mengzhen; Wu, Zhen The second-order maximum principle for partially observed optimal controls. (English) Zbl 1536.93983 Math. Control Relat. Fields 14, No. 1, 133-165 (2024). MSC: 93E20 60H07 × Cite Format Result Cite Review PDF Full Text: DOI
Hata, Hiroaki; Yasuda, Kazuhiro Expected power utility maximization with delay for insurers under the 4/2 stochastic volatility model. (English) Zbl 07831669 Math. Control Relat. Fields 14, No. 1, 16-50 (2024). Reviewer: Tamás Mátrai (Edinburgh) MSC: 91G05 60H30 93E20 × Cite Format Result Cite Review PDF Full Text: DOI
Zhang, Liangquan; Zhang, Wei Infinite horizon Stackelberg differential games with random coefficients under control input constraint. (English) Zbl 1533.93855 Int. J. Control 97, No. 2, 259-271 (2024). MSC: 93E20 49N70 49N10 91A65 91A15 60H30 × Cite Format Result Cite Review PDF Full Text: DOI
Qiu, Jinniao; Yang, Yang Optimal control of Infinite-dimensional differential systems with randomness and path-dependence and stochastic path-dependent Hamilton-Jacobi equations. (English) Zbl 07815229 ESAIM, Control Optim. Calc. Var. 30, Paper No. 12, 42 p. (2024). MSC: 49L20 49L25 35R60 35F21 35D40 47H05 47N10 93E20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv OA License
Yang, Bixuan; Wu, Jinbiao; Guo, Tiexin Well-posedness and regularity of mean-field backward doubly stochastic Volterra integral equations and applications to dynamic risk measures. (English) Zbl 1532.60133 J. Math. Anal. Appl. 535, No. 1, Article ID 128089, 23 p. (2024). MSC: 60H10 60H20 60H05 91G10 93E20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Ndiaye, Assane; Aidara, Sadibou; Sow, Ahmadou Bamba Backward doubly stochastic differential equations driven by fractional Brownian motion with stochastic integral-Lipschitz coefficients. (English) Zbl 07812407 Random Oper. Stoch. Equ. 32, No. 1, 13-25 (2024). MSC: 60H10 60H05 60H07 60G22 × Cite Format Result Cite Review PDF Full Text: DOI
Feng, Xinwei; Qiu, Zhenghong; Wang, Shujun Linear quadratic mean-field game with volatility uncertainty. (English) Zbl 1534.91024 J. Math. Anal. Appl. 534, No. 2, Article ID 128081, 29 p. (2024). MSC: 91A16 49N10 49N80 × Cite Format Result Cite Review PDF Full Text: DOI
O, Hun; Kim, Mun-Chol; Kim, Kon-Gun Wellposedness of second order reflected BSDEs: a new formulation. (English) Zbl 07806691 ESAIM, Probab. Stat. 28, 1-21 (2024). MSC: 60H10 60H30 × Cite Format Result Cite Review PDF Full Text: DOI
Zhou, Guangshuo; Du, Fengjiao; Fan, Shengjun Invariant representation for generators of general time interval quadratic BSDEs under stochastic growth conditions. (English) Zbl 1532.60135 Stat. Probab. Lett. 205, Article ID 109961, 8 p. (2024). MSC: 60H10 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Lyons, Terry J.; Margarint, Vlad; Nejad, Sina Convergence to closed-form distribution for the backward \(SLE_\kappa\) at some random times and the phase transition at \(\kappa = 8\). (English) Zbl 1532.60169 Stat. Probab. Lett. 205, Article ID 109958, 9 p. (2024). MSC: 60J67 60K35 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Rolón Gutiérrez, Esteban J.; Nguyen, Son Luu; Yin, George Markovian-switching systems: backward and forward-backward stochastic differential equations, mean-field interactions, and nonzero-sum differential games. (English) Zbl 1539.60088 Appl. Math. Optim. 89, No. 2, Paper No. 33, 47 p. (2024). Reviewer: Anatoliy Swishchuk (Calgary) MSC: 60J25 60J27 60J60 93E20 × Cite Format Result Cite Review PDF Full Text: DOI
Wu, Fan; Xiong, Jie; Zhang, Xin Zero-sum stochastic linear-quadratic Stackelberg differential games with jumps. (English) Zbl 1531.91026 Appl. Math. Optim. 89, No. 1, Paper No. 29, 41 p. (2024). MSC: 91A15 91A65 91A10 49N10 93E20 × Cite Format Result Cite Review PDF Full Text: DOI
Chen, Pengyu; Wang, Renhai; Zhang, Xuping Asymptotically autonomous robustness of random attractors for 3D BBM equations driven by nonlinear colored noise. (English) Zbl 1530.35067 SIAM J. Math. Anal. 56, No. 1, 254-274 (2024). MSC: 35B41 35R60 37B55 37L55 60H15 × Cite Format Result Cite Review PDF Full Text: DOI
Putri, Endah R. M.; Shahab, Muhammad L.; Iqbal, Mohammad; Mukhlash, Imam; Hakam, Amirul; Mardianto, Lutfi; Susanto, Hadi A deep-genetic algorithm (deep-GA) approach for high-dimensional nonlinear parabolic partial differential equations. (English) Zbl 1538.91102 Comput. Math. Appl. 154, 120-127 (2024). MSC: 91G60 65M75 68W50 68T07 91G20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Nasiri, T.; Zakeri, A.; Aminataei, A. A numerical solution for a quasi solution of the time-fractional stochastic backward parabolic equation. (English) Zbl 1527.65088 J. Comput. Appl. Math. 437, Article ID 115441, 20 p. (2024). Reviewer: Abdallah Bradji (Annaba) MSC: 65M32 65M30 65M06 65T60 65K10 65J20 65F22 65M12 65M15 60G22 35A15 41A50 35A01 35A02 35R30 26A33 35R11 35R60 × Cite Format Result Cite Review PDF Full Text: DOI
Li, Zixuan; Shi, Jingtao Linear quadratic leader-follower stochastic differential games: closed-loop solvability. (English) Zbl 07903274 J. Syst. Sci. Complex. 36, No. 4, 1373-1406 (2023). MSC: 91A15 91A65 60H30 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Feng, Xiaoli; Chen, Chen The backward problem of a stochastic PDE with bi-harmonic operator driven by fractional Brownian motion. (English) Zbl 1541.35556 Appl. Anal. 102, No. 18, 4972-4996 (2023). MSC: 35R30 35R60 65M32 60G22 × Cite Format Result Cite Review PDF Full Text: DOI
Yoshioka, Hidekazu; Yoshioka, Yumi Dual stochastic descriptions of streamflow dynamics under model ambiguity through a Markovian embedding. (English) Zbl 1537.93797 J. Math. Ind. 13, Paper No. 7, 28 p. (2023). MSC: 93E20 60H30 60H10 × Cite Format Result Cite Review PDF Full Text: DOI
Fang, Shuixin; Zhao, Weidong ODE-based multistep schemes for backward stochastic differential equations. (English) Zbl 07814777 Numer. Math., Theory Methods Appl. 16, No. 4, 1053-1086 (2023). MSC: 65C30 60H35 65C20 × Cite Format Result Cite Review PDF Full Text: DOI
Hu, Mingshang; Ji, Shaolin; Xue, Xiaole Optimization under rational expectations: a framework of fully coupled forward-backward stochastic linear quadratic systems. (English) Zbl 1533.93843 Math. Oper. Res. 48, No. 3, 1767-1790 (2023). MSC: 93E20 49N10 60H10 × Cite Format Result Cite Review PDF Full Text: DOI
Berrouis, Nassima; Gherbal, Boulakhras; Ninouh, Abdelhakim Stochastic optimal control for dynamics of forward backward doubly SDEs of mean-field type. (English) Zbl 07805579 Bol. Soc. Parana. Mat. (3) 41, Paper No. 20, 27 p. (2023). MSC: 60H10 60G55 93E20 × Cite Format Result Cite Review PDF Full Text: DOI OA License
Wang, Ning; Zhang, Yumo Robust optimal asset-liability management with mispricing and stochastic factor market dynamics. (English) Zbl 1532.91106 Insur. Math. Econ. 113, 251-273 (2023). MSC: 91G05 60H30 × Cite Format Result Cite Review PDF Full Text: DOI
Bensoussan, Alain; Huang, Ziyu; Yam, Sheung Chi Phillip Control theory on Wasserstein space: a new approach to optimality conditions. (English) Zbl 1532.35460 Ann. Math. Sci. Appl. 8, No. 3, 565-628 (2023). MSC: 35Q93 35Q84 49L25 49N80 93E20 93B52 60H30 60H10 60H15 35F21 × Cite Format Result Cite Review PDF Full Text: DOI
Qian, Hongchao; Peng, Jun Backward doubly-stochastic differential equations with mean reflection. (English) Zbl 1532.35556 Probab. Uncertain. Quant. Risk 8, No. 4, 417-444 (2023). MSC: 35R60 60H15 60H20 × Cite Format Result Cite Review PDF Full Text: DOI
Deshpande, A. Bounds on mean variance hedging in jump diffusion. (English) Zbl 1531.91220 Appl. Math. 50, No. 1, 1-14 (2023). MSC: 91G10 93E20 49N10 × Cite Format Result Cite Review PDF Full Text: DOI
Nie, Panpan; Wang, Guangchen; Wang, Yu Necessary and sufficient conditions for Pareto optimal solution of backward stochastic system with application. (English) Zbl 07795086 IEEE Trans. Autom. Control 68, No. 11, 6696-6710 (2023). MSC: 91A23 49K45 49N70 93E20 × Cite Format Result Cite Review PDF Full Text: DOI
Liu, Feng; Yu, Zhiyong Controllability Gramian for stochastic game-based systems. (English) Zbl 07794450 IEEE Trans. Autom. Control 68, No. 10, 6036-6050 (2023). MSC: 93B05 60H30 91A15 93E03 × Cite Format Result Cite Review PDF Full Text: DOI
Li, Jinfeng; Jiang, Yifan; Du, Kai A posteriori estimate for a class of mean-field forward-backward stochastic differential equations. (Chinese. English summary) Zbl 1538.60100 Chin. J. Appl. Probab. Stat. 39, No. 4, 517-530 (2023). MSC: 60H10 × Cite Format Result Cite Review PDF Full Text: Link
Hun, O.; Kim, Mun-Chol; Kim, Kon-Gun Dynamic programming approach to reflected backward stochastic differential equations. (English) Zbl 07790277 Electron. J. Probab. 28, Paper No. 114, 20 p. (2023). MSC: 60H10 60H30 × Cite Format Result Cite Review PDF Full Text: DOI
Ararat, Çağın; Ma, Jin; Wu, Wenqian Set-valued backward stochastic differential equations. (English) Zbl 1538.60091 Ann. Appl. Probab. 33, No. 5, 3418-3448 (2023). MSC: 60H10 60H05 28B20 60G44 47H04 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Link
Huang, Jianhui; Li, Wenqiang; Zhao, Hanyu A class of optimal control problems of forward-backward systems with input constraint. (English) Zbl 1536.49007 J. Optim. Theory Appl. 199, No. 3, 1050-1084 (2023). MSC: 49J20 49N80 × Cite Format Result Cite Review PDF Full Text: DOI
Song, Yuanzhuo The partial controllability of linear stochastic control systems with terminal constraints and its applications to game-based control systems with jumps. (English) Zbl 1530.93035 SIAM J. Control Optim. 61, No. 6, 3635-3663 (2023). MSC: 93B05 93E20 60H10 91A15 × Cite Format Result Cite Review PDF Full Text: DOI
Reisinger, Christoph; Stockinger, Wolfgang; Zhang, Yufei Linear convergence of a policy gradient method for some finite horizon continuous time control problems. (English) Zbl 07782638 SIAM J. Control Optim. 61, No. 6, 3526-3558 (2023). MSC: 68Q25 93E20 49M05 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Wang, Zewen; Wu, Bin A numerical method for a backward problem of a linear stochastic Kuramoto-Sivashinsky equation. (English) Zbl 07773385 Results Appl. Math. 19, Article ID 100383, 7 p. (2023). MSC: 65-XX 35Rxx 93Bxx 60Hxx × Cite Format Result Cite Review PDF Full Text: DOI OA License
Hess, Markus The stochastic Leibniz formula for Volterra integrals under enlarged filtrations. (English) Zbl 1537.60064 Stoch. Models 39, No. 4, 823-850 (2023). MSC: 60H05 60H20 60G20 60G44 60H10 60G51 60G57 × Cite Format Result Cite Review PDF Full Text: DOI
Li, Xinying; Lai, Yuru; Fan, Shengjun BSDEs with stochastic Lipschitz condition: a general result. (English) Zbl 1535.60102 Probab. Uncertain. Quant. Risk 8, No. 2, 267-280 (2023). MSC: 60H10 × Cite Format Result Cite Review PDF Full Text: DOI
Shi, Yufeng; Yang, Zhi Existence result for the BSDE with superquadratic growth. (English) Zbl 07767162 Commun. Stat., Theory Methods 52, No. 24, 8902-8908 (2023). MSC: 62-XX × Cite Format Result Cite Review PDF Full Text: DOI
Shi, Xuejun; Jiang, Long Representation theorem and viability property for multidimensional BSDEs and their applications. (English) Zbl 1523.60102 Probab. Uncertain. Quant. Risk 8, No. 3, 373-390 (2023). MSC: 60H10 × Cite Format Result Cite Review PDF Full Text: DOI
Shi, Yufeng; Yang, Zhi On the uniqueness result for the BSDE with deterministic coefficient. (English) Zbl 1523.60103 Probab. Uncertain. Quant. Risk 8, No. 3, 309-320 (2023). MSC: 60H10 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Li, Xiaojuan Relationship between maximum principle and dynamic programming principle for stochastic recursive optimal control problem under volatility uncertainty. (English) Zbl 1531.93434 Optim. Control Appl. Methods 44, No. 5, 2457-2475 (2023). MSC: 93E20 49L20 60G65 49L25 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Yang, Hyun Jong; Moon, Jun A sufficient condition for optimal control problem of fully coupled forward-backward stochastic systems with jumps: a state-constrained control approach. (English) Zbl 1531.93450 Optim. Control Appl. Methods 44, No. 4, 1936-1971 (2023). MSC: 93E20 60H30 45K05 49L12 49L25 × Cite Format Result Cite Review PDF Full Text: DOI
Aidara, Sadibou; Ndiaye, Assane; Sow, Ahmadou Bamba Generalized BDSDEs driven by fractional Brownian motion. (English) Zbl 1524.60116 Nonauton. Dyn. Syst. 10, Article ID 20220167, 11 p. (2023). MSC: 60H10 60H07 60G22 × Cite Format Result Cite Review PDF Full Text: DOI OA License
Owo, Jean-Marc Backward doubly stochastic differential equations with discontinuous and stochastic linear growth generator. (English) Zbl 1535.60103 Stochastic Anal. Appl. 41, No. 5, 958-973 (2023). MSC: 60H10 60H20 × Cite Format Result Cite Review PDF Full Text: DOI
Buckdahn, Rainer; Li, Juan; Xing, Chuanzhi Doubly-stochastic interpretation for nonlocal semi-linear backward stochastic partial differential equations. (English) Zbl 1540.60101 J. Differ. Equations 375, 1-81 (2023). MSC: 60H07 60H15 60H30 35R60 34F05 × Cite Format Result Cite Review PDF Full Text: DOI
Wu, Shuang Linear-quadratic non-zero sum backward stochastic differential game with overlapping information. (English) Zbl 07743794 IEEE Trans. Autom. Control 68, No. 3, 1800-1806 (2023). MSC: 93-XX × Cite Format Result Cite Review PDF Full Text: DOI
Tsuchida, Yoshifumi Control variate method for deep BSDE solver using weak approximation. (English) Zbl 1521.91390 Asia-Pac. Financ. Mark. 30, No. 2, 273-296 (2023). MSC: 91G60 65C30 60H10 60H15 × Cite Format Result Cite Review PDF Full Text: DOI
Chen, Tian; Liu, Ruyi; Wu, Zhen Continuous-time mean-variance portfolio selection under non-Markovian regime-switching model with random horizon. (English) Zbl 1521.91326 J. Syst. Sci. Complex. 36, No. 2, 457-479 (2023). MSC: 91G10 60H10 60J20 60J70 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Elmansouri, Badr; El Otmani, Mohamed Generalized backward stochastic differential equations with jumps in a general filtration. (English) Zbl 1539.60069 Random Oper. Stoch. Equ. 31, No. 3, 205-216 (2023). MSC: 60H10 34F05 60H15 35R60 60H20 60H30 60H05 × Cite Format Result Cite Review PDF Full Text: DOI
Wang, Wenjing; Xu, Juanjuan; Zhang, Huanshui Exact controllability of forward and backward stochastic difference system. (English) Zbl 1522.93042 Automatica 157, Article ID 111267, 9 p. (2023). MSC: 93B05 93C30 39A50 × Cite Format Result Cite Review PDF Full Text: DOI
Li, Yangrong; Yang, Shuang Hausdorff sub-norm spaces and continuity of random attractors for bi-stochastic g-Navier-Stokes equations with respect to tempered forces. (English) Zbl 1527.37086 J. Dyn. Differ. Equations 35, No. 1, 543-574 (2023). MSC: 37L55 37L30 35Q30 35R60 35B41 60H15 × Cite Format Result Cite Review PDF Full Text: DOI
Sun, Jingrui; Wu, Zhen; Xiong, Jie Indefinite backward stochastic linear-quadratic optimal control problems. (English) Zbl 1521.93207 ESAIM, Control Optim. Calc. Var. 29, Paper No. 35, 30 p. (2023). MSC: 93E20 49N10 49K27 × Cite Format Result Cite Review PDF Full Text: DOI arXiv OA License
Zheng, Yueyang; Shi, Jingtao The maximum principle for discounted optimal control of partially observed forward-backward stochastic systems with jumps on infinite horizon. (English) Zbl 1521.93212 ESAIM, Control Optim. Calc. Var. 29, Paper No. 34, 49 p. (2023). MSC: 93E20 49N10 49N70 60H10 × Cite Format Result Cite Review PDF Full Text: DOI arXiv OA License
Essaky, E. H.; Hassani, M.; Rhazlane, C. E. Doubly reflected BSDEs with stochastic quadratic growth: around the predictable obstacles. (English) Zbl 1517.60061 Stochastic Processes Appl. 163, 473-497 (2023). MSC: 60H10 60H20 60H05 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Aidara, Sadibou; Sagna, Yaya; Faye, Ibrahima Averaging principle for BSDEs driven by two mutually independent fractional Brownian motions. (English) Zbl 1517.60057 Appl. Anal. 102, No. 8, 2189-2199 (2023). MSC: 60H10 60H05 60G22 × Cite Format Result Cite Review PDF Full Text: DOI
Xu, Mingyu Superhedging problem under ratio constraint: BSDE approaches with Malliavin calculus. (English) Zbl 1515.60224 Numer. Algebra Control Optim. 13, No. 3-4, 664-680 (2023). MSC: 60H10 60H30 91G80 × Cite Format Result Cite Review PDF Full Text: DOI
Hibon, Hélène; Hu, Ying; Tang, Shanjian Mean-field type quadratic BSDEs. (English) Zbl 1515.60191 Numer. Algebra Control Optim. 13, No. 3-4, 392-412 (2023). MSC: 60H10 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Yong, Jiongmin Forward-backward stochastic differential equations: initiation, development and beyond. (English) Zbl 1515.60227 Numer. Algebra Control Optim. 13, No. 3-4, 367-391 (2023). MSC: 60H10 60H15 60H35 93E20 35K40 × Cite Format Result Cite Review PDF Full Text: DOI
Zhou, Hao; Hu, Yaozhong; Liu, Yanghui Backward Euler method for stochastic differential equations with non-Lipschitz coefficients driven by fractionalBrownian motion. (English) Zbl 1518.65016 BIT 63, No. 3, Paper No. 40, 37 p. (2023). MSC: 65C30 60H10 60H35 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Fan, Shengjun; Hu, Ying; Tang, Shanjian \( L^1\) solution to scalar BSDEs with logarithmic sub-linear growth generators. (English) Zbl 1534.60071 Syst. Control Lett. 177, Article ID 105553, 7 p. (2023). MSC: 60H10 × Cite Format Result Cite Review PDF Full Text: DOI
Chen, Yanbo; Nie, Tianyang; Wang, Shujun Fully-coupled mean-field FBSDE and maximum principle for related optimal control problem. (English) Zbl 1539.93201 Syst. Control Lett. 177, Article ID 105550, 15 p. (2023). MSC: 93E20 60H30 91A23 91A65 49N70 × Cite Format Result Cite Review PDF Full Text: DOI
Jia, Yunxiao; Feng, Xinwei; Huang, Jianhui; Xie, Tinghan Robust backward linear-quadratic differential game and team: a soft-constraint analysis. (English) Zbl 1520.91062 Syst. Control Lett. 177, Article ID 105533, 12 p. (2023). MSC: 91A23 91A65 60H10 93B51 × Cite Format Result Cite Review PDF Full Text: DOI
Li, Min; Nie, Tianyang; Wu, Zhen Linear-quadratic large-population problem with partial information: Hamiltonian approach and Riccati approach. (English) Zbl 1515.60202 SIAM J. Control Optim. 61, No. 4, 2114-2139 (2023). MSC: 60H10 93E20 91A15 49N10 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Xu, Xiaoyan; Zhang, Mingbo Anticipated BSDEs with reflection in convex region. (English) Zbl 1524.60138 Stochastics 95, No. 3, 329-355 (2023). MSC: 60H10 × Cite Format Result Cite Review PDF Full Text: DOI
Li, Xinying; Fan, Shengjun \(L^p\) solutions of general time interval BSDEs with generators satisfying a \(p\)-order weak stochastic-monotonicity condition. (English) Zbl 07711335 Commun. Stat., Theory Methods 52, No. 16, 5650-5676 (2023). MSC: 60H10 × Cite Format Result Cite Review PDF Full Text: DOI
Xie, Bing; Yu, Zhi Yong \(L^p\)-estimate for linear forward-backward stochastic differential equations. (English) Zbl 1521.60026 Acta Math. Sin., Engl. Ser. 39, No. 5, 827-845 (2023). Reviewer: Hossam A. Ghany (al-Qāhira) MSC: 60H10 × Cite Format Result Cite Review PDF Full Text: DOI