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
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
Kaouache, Rafik; Lakhdari, Imad Eddine; Djenaihi, Youcef Stochastic maximum principle for partially observed optimal control problem of McKean-Vlasov FBSDEs with Teugels martingales. (English) Zbl 07922087 Random Oper. Stoch. Equ. 32, No. 3, 249-265 (2024). MSC: 93E20 60H10 × 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
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
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
Zhang, Shuaiqi; Chen, Zhen-Qing Fully coupled forward-backward stochastic differential equations driven by sub-diffusions. (English) Zbl 07901389 J. Differ. Equations 405, 337-358 (2024). MSC: 60K50 60H10 × 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
Wang, Sicong; Teng, Bin; Shi, Yufeng; Zhu, Qingfeng A deep learning method for solving multi-dimensional coupled forward-backward doubly SDEs. (English) Zbl 07894803 Comput. Math. Appl. 169, 260-272 (2024). MSC: 65-XX 60-XX × Cite Format Result Cite Review PDF Full Text: DOI
Wei, Qingmeng; Xu, Yaqi; Yu, Zhiyong Infinite horizon mean-field linear quadratic optimal control problems with jumps and the related Hamiltonian systems. (English) Zbl 07873831 Appl. Math. Optim. 90, No. 1, Paper No. 4, 33 p. (2024). MSC: 49N10 49J55 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
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
Pellat, Rhoss Likibi; Menoukeu Pamen, Olivier Density analysis for coupled forward-backward SDEs with non-Lipschitz drifts and applications. (English) Zbl 1540.60124 Stochastic Processes Appl. 173, Article ID 104359, 37 p. (2024). MSC: 60H10 35K59 35K10 60H07 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
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
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
Santacroce, Marina; Siri, Paola; Trivellato, Barbara Forward backward SDEs systems for utility maximization in jump diffusion models. (English) Zbl 1535.60106 Appl. Math. Optim. 89, No. 3, Paper No. 65, 22 p. (2024). MSC: 60H10 91G80 60H30 × Cite Format Result Cite Review PDF Full Text: DOI arXiv OA License
Kisielewicz, Michał Weak compactness of weak solutions sets of forward-backward stochastic differential inclusions. (English) Zbl 1535.60100 Stochastic Anal. Appl. 42, No. 2, 306-326 (2024). MSC: 60H10 47H04 × Cite Format Result Cite Review PDF Full Text: DOI
Sin, Myong-Guk; Ji, Kang-Yu; Cha, Sang-Jin Properties of solution for fully coupled fractional mean-field forward-backward stochastic differential equation. (English) Zbl 1534.60079 Braz. J. Probab. Stat. 38, No. 1, 128-147 (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
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
Kyong-Il, Ri; Myong-Guk, Sin Existence and uniqueness of solution for fully coupled fractional forward-backward stochastic differential equations with delay and anticipated term. (English) Zbl 1534.34074 Stat. Probab. Lett. 206, Article ID 109954, 9 p. (2024). MSC: 34K37 34K50 60G22 × Cite Format Result Cite Review PDF Full Text: DOI
Zhang, Suya; Zhang, Weihai; Meng, Qingxin Stackelberg game approach to mixed stochastic \(H_2 /H_{\infty}\) control for mean-field jump-diffusions systems. (English) Zbl 1530.49030 Appl. Math. Optim. 89, No. 1, Paper No. 6, 56 p. (2024). Reviewer: Alain Brillard (Riedisheim) MSC: 49K45 93E03 49N90 91A16 91A65 93B36 93C73 × 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
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
Wu, Zhen; Zhang, Detao Theory of forward backward stochastic differential equations and its applications. (Chinese. English summary) Zbl 1538.60105 Chin. J. Appl. Probab. Stat. 39, No. 3, 413-435 (2023). MSC: 60H10 60H05 60H20 60H30 93E03 × Cite Format Result Cite Review PDF Full Text: Link
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
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
Wang, Haiyang; Wu, Zhen A kind of time-inconsistent corporate international investment problem with discontinuous cash flow. (English) Zbl 1530.91604 Commun. Math. Sci. 21, No. 7, 1751-1765 (2023). MSC: 91G50 60H30 × Cite Format Result Cite Review PDF Full Text: DOI
Bayraktar, Erhan; Cohen, Asaf; Nellis, April A neural network approach to high-dimensional optimal switching problems with jumps in energy markets. (English) Zbl 1530.91446 SIAM J. Financ. Math. 14, No. 4, 1028-1061 (2023). MSC: 91B70 60H10 65C30 93E20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Abba, Khedidja; Lakhdari, Imad Eddine A stochastic maximum principle for partially observed optimal control problem of McKean-Vlasov FBSDEs with random jumps. (English) Zbl 07769084 Bull. Iran. Math. Soc. 49, No. 5, Paper No. 56, 30 p. (2023). MSC: 93E20 60H10 × Cite Format Result Cite Review PDF Full Text: DOI
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
Massing, Till Approximation and error analysis of forward-backward SDEs driven by general Lévy processes using shot noise series representations. (English) Zbl 1517.60065 ESAIM, Probab. Stat. 27, 694-722 (2023). MSC: 60H10 60H35 65C05 × Cite Format Result Cite Review PDF Full Text: DOI arXiv OA License
Feng, Qi; Luo, Man; Zhang, Zhaoyu Deep signature FBSDE algorithm. (English) Zbl 1517.65007 Numer. Algebra Control Optim. 13, No. 3-4, 500-522 (2023). MSC: 65C30 60H35 91G20 91G60 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Hu, Kaitong; Ren, Zhenjie; Touzi, Nizar On path-dependent multidimensional forward-backward SDEs. (English) Zbl 1515.60194 Numer. Algebra Control Optim. 13, No. 3-4, 413-430 (2023). MSC: 60H10 60H15 60H30 35R60 × 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
Li, Junsong; Mi, Chao; Xing, Chuanzhi; Zhao, Dehao General coupled mean-field reflected forward-backward stochastic differential equations. (English) Zbl 1524.60128 Acta Math. Sci., Ser. B, Engl. Ed. 43, No. 5, 2234-2262 (2023). MSC: 60H10 × 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
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
Bishwal, Jaya P. N. Le Cam-Stratonovich-Boole theory for Itô diffusions. (English) Zbl 07708899 Random Oper. Stoch. Equ. 31, No. 2, 153-176 (2023). MSC: 62F12 62F15 62M05 60F05 60F10 60H10 × Cite Format Result Cite Review PDF Full Text: DOI
Perninge, Magnus Zero-sum stochastic differential games of impulse versus continuous control by FBSDEs. (English) Zbl 1520.91045 J. Math. Anal. Appl. 527, No. 1, Part 2, Article ID 127403, 39 p. (2023). MSC: 91A15 91A10 60H30 93C27 90C39 × Cite Format Result Cite Review PDF Full Text: DOI arXiv OA License
Xu, Jie; Lian, Qiqi; Wu, Jiang-Lun A strong averaging principle rate for two-time-scale coupled forward-backward stochastic differential equations driven by fractional Brownian motion. (English) Zbl 1515.60222 Appl. Math. Optim. 88, No. 2, Paper No. 32, 35 p. (2023). MSC: 60H10 60H20 60H07 × Cite Format Result Cite Review PDF Full Text: DOI
Peskir, Goran; Roodman, David Sticky Feller diffusions. (English) Zbl 1517.60101 Electron. J. Probab. 28, Paper No. 29, 28 p. (2023). MSC: 60J60 60J80 60J65 60H20 35C15 35K20 35K67 × Cite Format Result Cite Review PDF Full Text: DOI Link
Sun, Yabing; Zhao, Weidong Numerical schemes for fully coupled mean-field forward backward stochastic differential equations. (English) Zbl 1515.60252 Discrete Contin. Dyn. Syst., Ser. S 16, No. 5, 999-1013 (2023). MSC: 60H35 65C05 65C30 × Cite Format Result Cite Review PDF Full Text: DOI
Fang, Shuixin; Zhao, Weidong; Zhou, Tao Strong stability preserving multistep schemes for forward backward stochastic differential equations. (English) Zbl 1516.65003 J. Sci. Comput. 94, No. 3, Paper No. 53, 32 p. (2023). MSC: 65C30 60H35 65C20 × Cite Format Result Cite Review PDF Full Text: DOI
Jing, Guangdong; Wang, Penghui Eigenvalues of stochastic Hamiltonian systems with boundary conditions and its application. (English) Zbl 1532.60123 Math. Control Relat. Fields 13, No. 1, 215-249 (2023). MSC: 60H10 34B99 34F05 34L15 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Zheng, Yueyang; Shi, Jingtao The global maximum principle for progressive optimal control of partially observed forward-backward stochastic systems with random jumps. (English) Zbl 1518.93159 SIAM J. Control Optim. 61, No. 3, 1063-1094 (2023). Reviewer: Kai Wang (Bengbu) MSC: 93E20 93E11 60H10 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Wu, Zhen; Xie, Bing; Yu, Zhiyong Sobolev space weak solutions to one kind of quasilinear parabolic partial differential equations related to forward-backward stochastic differential equations. (English) Zbl 1528.60063 Discrete Contin. Dyn. Syst. 43, No. 6, 2494-2523 (2023). MSC: 60H10 35K55 35C05 × Cite Format Result Cite Review PDF Full Text: DOI
Aman, Auguste; Coulibaly, Harouna; Đorđević, Jasmina Forward-backward stochastic differential equations with delay generators. (English) Zbl 1523.60095 Stoch. Dyn. 23, No. 2, Article ID 2350012, 14 p. (2023). MSC: 60H10 60F10 60H30 × Cite Format Result Cite Review PDF Full Text: DOI
Wang, Xu; Zhao, Weidong Sinc-multistep schemes for forward backward stochastic differential equations. (English) Zbl 1524.65045 Adv. Appl. Math. Mech. 15, No. 3, 737-768 (2023). MSC: 65C30 60H10 60H35 65L06 × Cite Format Result Cite Review PDF Full Text: DOI
Nagai, Hideo Optimal consumption-investment under partial information in conditionally log-Gaussian models. (English) Zbl 1509.91039 Probab. Uncertain. Quant. Risk 8, No. 1, 95-120 (2023). MSC: 91G10 35Q91 49L20 60H30 93E20 × Cite Format Result Cite Review PDF Full Text: DOI
Tian, Ran; Yu, Zhiyong Mean-field type FBSDEs under domination-monotonicity conditions and application to LQ problems. (English) Zbl 1511.93145 SIAM J. Control Optim. 61, No. 1, 22-46 (2023). MSC: 93E20 60H10 49N10 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Molla, Hasib Uddin; Qiu, Jinniao Numerical approximations of coupled forward-backward SPDEs. (English) Zbl 1509.60121 Stochastic Anal. Appl. 41, No. 2, 291-326 (2023). MSC: 60H15 65C05 93E20 35D35 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Nam, Kihun; Xu, Yunxi Forward-backward stochastic equations: a functional fixed point approach. (English) Zbl 1515.60209 Stochastic Anal. Appl. 41, No. 1, 16-44 (2023). MSC: 60H10 47J25 × Cite Format Result Cite Review PDF Full Text: DOI
Li, Hongdan; Xu, Juanjuan; Zhang, Huanshui Solution to forward-backward stochastic differential equations with random coefficients and application to deterministic optimal control. (English) Zbl 07742184 IEEE Trans. Autom. Control 67, No. 12, 6888-6895 (2022). MSC: 93E20 49K45 60H10 × Cite Format Result Cite Review PDF Full Text: DOI
Qiu, Zhenghong; Huang, Jianhui; Feng, Xinwei Mixed social optima and Nash equilibrium in linear-quadratic-Gaussian mean-field system. (English) Zbl 1541.93387 IEEE Trans. Autom. Control 67, No. 12, 6858-6865 (2022). MSC: 93E20 49N10 93A15 93A14 60H30 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Zhou, Qinglong; Zong, Gaofeng A stochastic linear-quadratic differential game with time-inconsistency. (English) Zbl 1514.91013 Electron. Res. Arch. 30, No. 7, 2550-2567 (2022). MSC: 91A15 60H10 49N10 93E20 × Cite Format Result Cite Review PDF Full Text: DOI OA License
Liu, Ruyi; Wu, Zhen; Zhang, Detao Two equivalent families of linear fully coupled forward backward stochastic differential equations. (English) Zbl 1511.60088 ESAIM, Control Optim. Calc. Var. 28, Paper No. 82, 19 p. (2022). MSC: 60H10 34F05 × Cite Format Result Cite Review PDF Full Text: DOI arXiv OA License
Carmona, René; Laurière, Mathieu Convergence analysis of machine learning algorithms for the numerical solution of mean field control and games. II: The finite horizon case. (English) Zbl 1505.65243 Ann. Appl. Probab. 32, No. 6, 4065-4105 (2022). MSC: 65M06 68T07 91A16 49N80 65M12 65M15 92B20 93E20 60H10 65C30 35Q83 35Q89 35Q93 35R60 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Zhang, Yuhang; Song, Minghui; Liu, Mingzhu; Zhao, Bowen Strong convergence rate of the stochastic theta method for nonlinear hybrid stochastic differential equations with piecewise continuous arguments. (English) Zbl 1513.65015 Comput. Appl. Math. 41, No. 8, Paper No. 372, 26 p. (2022). MSC: 65C30 60H35 34K50 65L20 × Cite Format Result Cite Review PDF Full Text: DOI
Tian, Ran; Yu, Zhiyong Mean-field type FBSDEs in a domination-monotonicity framework and LQ multi-level Stackelberg games. (English) Zbl 1502.60097 Probab. Uncertain. Quant. Risk 7, No. 3, 215-246 (2022). MSC: 60H10 49N10 93E20 × Cite Format Result Cite Review PDF Full Text: DOI
Akahori, Jiro; Furuichi, Yui; Okuma, Kaori Higher-order deep solver of non-linear PDEs implied by a non-linear discrete Clark-Ocone formula. (English) Zbl 07614420 JSIAM Lett. 14, 9-12 (2022). MSC: 65Mxx 81-XX × Cite Format Result Cite Review PDF Full Text: DOI
Wang, Bingjun; Gao, Hongjun; Li, Mei; Yuan, Mingxia Reflected forward-backward stochastic differential equations driven by \(G\)-Brownian motion with continuous monotone coefficients. (English) Zbl 1507.60082 Qual. Theory Dyn. Syst. 21, No. 4, Paper No. 140, 34 p. (2022). MSC: 60H10 34F05 60H05 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Gobet, Emmanuel; Grangereau, Maxime Newton method for stochastic control problems. (English) Zbl 1500.93145 SIAM J. Control Optim. 60, No. 5, 2996-3025 (2022). MSC: 93E20 49M15 60H30 49N10 × Cite Format Result Cite Review PDF Full Text: DOI
di Nunno, Giulia On stochastic control for time changed Lévy dynamics. (English) Zbl 1498.49065 S\(\vec{\text{e}}\)MA J. 79, No. 3, 529-547 (2022). MSC: 49N70 91A30 93E20 60H07 60H20 60G60 × Cite Format Result Cite Review PDF Full Text: DOI OA License
Zheng, Yueyang; Shi, Jingtao Stackelberg stochastic differential game with asymmetric noisy observations. (English) Zbl 1500.91012 Int. J. Control 95, No. 9, 2510-2530 (2022). MSC: 91A15 91A65 93E20 49N10 49N70 60H10 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Sin, Myong-Guk; Ri, Kyong-Il; Kim, Kyong-Hui Existence and uniqueness of solution for coupled fractional mean-field forward-backward stochastic differential equations. (English) Zbl 1498.60272 Stat. Probab. Lett. 190, Article ID 109608, 11 p. (2022). MSC: 60H15 60G22 26A33 × Cite Format Result Cite Review PDF Full Text: DOI
Ji, Shaolin; Xu, Rundong A modified method of successive approximations for stochastic recursive optimal control problems. (English) Zbl 1498.93781 SIAM J. Control Optim. 60, No. 5, 2759-2786 (2022). MSC: 93E20 60H30 49M05 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Zeng, Shaojie; Cai, Yihua; Zou, Qingsong Deep neural networks based temporal-difference methods for high-dimensional parabolic partial differential equations. (English) Zbl 07578910 J. Comput. Phys. 468, Article ID 111503, 16 p. (2022). MSC: 60Hxx 68Txx 35Qxx × Cite Format Result Cite Review PDF Full Text: DOI
Zhang, Liangquan A BSDE approach to stochastic differential games involving impulse controls and HJBI equation. (English) Zbl 1495.91013 J. Syst. Sci. Complex. 35, No. 3, 766-801 (2022). MSC: 91A15 93A10 60H10 93C27 49L25 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Wang, Haiyang; Wu, Zhen Time-inconsistent linear-quadratic non-zero sum stochastic differential games with random jumps. (English) Zbl 1497.91032 Int. J. Control 95, No. 7, 1864-1874 (2022). MSC: 91A15 × Cite Format Result Cite Review PDF Full Text: DOI
Wang, Hanxiao; Yong, Jiongmin; Zhang, Jianfeng Path dependent Feynman-Kac formula for forward backward stochastic Volterra integral equations. (English. French summary) Zbl 1494.35071 Ann. Inst. Henri Poincaré, Probab. Stat. 58, No. 2, 603-638 (2022). MSC: 35D40 35K10 35R60 45D05 60G22 60H20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Ankirchner, Stefan; Fromm, Alexander; Wendt, Julian A transformation method to study the solvability of fully coupled FBSDEs. (English) Zbl 1496.60060 Stochastics 94, No. 1, 1-25 (2022). MSC: 60H10 × Cite Format Result Cite Review PDF Full Text: DOI HAL
Pellat, Rhoss Likibi; Pamen, Olivier Menoukeu; Ouknine, Youssef A class of quadratic forward-backward stochastic differential equations. (English) Zbl 1494.60067 J. Math. Anal. Appl. 514, No. 2, Article ID 126100, 39 p. (2022). MSC: 60H10 93E20 60H30 × Cite Format Result Cite Review PDF Full Text: DOI OA License
Hu, Mingshang; Ji, Shaolin; Xu, Rundong A global stochastic maximum principle for forward-backward stochastic control systems with quadratic generators. (English) Zbl 1492.93200 SIAM J. Control Optim. 60, No. 3, 1791-1818 (2022). MSC: 93E20 60H10 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Zhang, Qixia Mean-field stochastic \(H_2/H_\infty\) control with delay. (English) Zbl 1492.93050 Int. J. Control 95, No. 6, 1551-1561 (2022). MSC: 93B36 93E20 93C23 34K50 × Cite Format Result Cite Review PDF Full Text: DOI
Sun, Yabing; Yang, Jie; Zhao, Weidong; Zhou, Tao An explicit multistep scheme for mean-field forward-backward stochastic differential equations. (English) Zbl 1499.65021 J. Comput. Math. 40, No. 4, 519-543 (2022). MSC: 65C30 60H10 60H35 × Cite Format Result Cite Review PDF Full Text: DOI
Tang, Xiao; Xiong, Jie Stability analysis of general multistep methods for Markovian backward stochastic differential equations. (English) Zbl 1498.65025 IMA J. Numer. Anal. 42, No. 2, 1789-1805 (2022). MSC: 65C30 60H10 × Cite Format Result Cite Review PDF Full Text: DOI
Dunlap, Alexander; Gu, Yu A forward-backward SDE from the 2D nonlinear stochastic heat equation. (English) Zbl 1487.35463 Ann. Probab. 50, No. 3, 1204-1253 (2022). MSC: 35R60 35K15 35K58 60H10 60H15 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Liu, Ying; Sun, Yabing; Zhao, Weidong Explicit multistep stochastic characteristic approximation methods for forward backward stochastic differential equations. (English) Zbl 1484.65014 Discrete Contin. Dyn. Syst., Ser. S 15, No. 4, 773-795 (2022). MSC: 65C30 60H10 60H35 × Cite Format Result Cite Review PDF Full Text: DOI
Yang, Xueyang; Yu, Zhiyong FBSDEs involving time delays and advancements on infinite horizon and LQ problems with delays. (English) Zbl 1485.93643 Syst. Control Lett. 161, Article ID 105149, 9 p. (2022). MSC: 93E20 49N10 93C15 60H30 × Cite Format Result Cite Review PDF Full Text: DOI
Huang, Zhen; Wang, Ying; Wang, Xiangrong A mean-field optimal control for fully coupled forward-backward stochastic control systems with Lévy processes. (English) Zbl 1485.93631 J. Syst. Sci. Complex. 35, No. 1, 205-220 (2022). MSC: 93E20 49N80 49N10 60G51 × Cite Format Result Cite Review PDF Full Text: DOI
Yu, Zhiyong On forward-backward stochastic differential equations in a domination-monotonicity framework. (English) Zbl 1492.60180 Appl. Math. Optim. 85, No. 1, 1-46 (2022). MSC: 60H10 49N10 93E20 × Cite Format Result Cite Review PDF Full Text: DOI
Breton, Jean-Christophe; Privault, Nicolas Wasserstein distance estimates for stochastic integrals by forward-backward stochastic calculus. (English) Zbl 1529.60037 Potential Anal. 56, No. 1, 1-20 (2022). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 60H05 60H10 60G57 60G44 60J60 60J74 × Cite Format Result Cite Review PDF Full Text: DOI
Zheng, Guoqiang Local wellposedness of coupled backward stochastic differential equations driven by \(G\)-Brownian motions. (English) Zbl 1481.60118 J. Math. Anal. Appl. 506, No. 1, Article ID 125540, 18 p. (2022). MSC: 60H10 60G65 × Cite Format Result Cite Review PDF Full Text: DOI
Zhu, Qingfeng; Shi, Yufeng; Teng, Bin Forward-backward doubly stochastic differential equations with random jumps and related games. (English) Zbl 07878863 Asian J. Control 23, No. 2, 962-978 (2021). MSC: 93-XX × Cite Format Result Cite Review PDF Full Text: DOI
Gonon, Lukas; Muhle-Karbe, Johannes; Shi, Xiaofei Asset pricing with general transaction costs: theory and numerics. (English) Zbl 1521.91366 Math. Finance 31, No. 2, 595-648 (2021). MSC: 91G30 60H10 68T07 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Li, Xiaofei; Wu, Yi; Zhu, Quanxin; Hu, Songbo; Qin, Chuan A regression-based Monte Carlo method to solve two-dimensional forward backward stochastic differential equations. (English) Zbl 1494.65005 Adv. Difference Equ. 2021, Paper No. 207, 13 p. (2021). MSC: 65C30 60H15 65C05 × Cite Format Result Cite Review PDF Full Text: DOI OA License
Jiang, Yifan; Li, Jinfeng Convergence of the deep BSDE method for FBSDEs with non-Lipschitz coefficients. (English) Zbl 1491.60084 Probab. Uncertain. Quant. Risk 6, No. 4, 391-408 (2021). MSC: 60H10 60H30 60H35 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Cartea, Álvaro; Jaimungal, Sebastian; Sánchez-Betancourt, Leandro Latency and liquidity risk. (English) Zbl 1484.91448 Int. J. Theor. Appl. Finance 24, No. 6-7, Article ID 2150035, 37 p. (2021). MSC: 91G15 60H30 93E20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Wang, Tianxiao; Jin, Zhuo; Wei, Jiaqin Mean-variance portfolio selection with non-negative state-dependent risk aversion. (English) Zbl 1479.91366 Quant. Finance 21, No. 4, 657-671 (2021). MSC: 91G10 60H10 × Cite Format Result Cite Review PDF Full Text: DOI
Zhang, Liangquan; Zhang, Wei Global solutions of stochastic Stackelberg differential games under convex control constraint. (English) Zbl 1482.91020 Syst. Control Lett. 156, Article ID 105020, 15 p. (2021). Reviewer: Vivek S. Borkar (Mumbai) MSC: 91A15 91A65 93E20 60H10 49K45 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Meng, Weijun; Shi, Jingtao Linear quadratic optimal control problems of delayed backward stochastic differential equations. (English) Zbl 1476.93162 Appl. Math. Optim. 84, Suppl. 1, S523-S559 (2021). MSC: 93E20 93C43 49N10 34K50 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Zhang, Wei; Zhang, Liangquan A BSDE approach to stochastic linear quadratic control problem. (English) Zbl 1472.93204 Optim. Control Appl. Methods 42, No. 4, 1206-1224 (2021). MSC: 93E20 49N10 60H10 × Cite Format Result Cite Review PDF Full Text: DOI
Zhang, Huanjun Mixed optimal control of forward-backward stochastic system. (English) Zbl 1478.93747 Optim. Control Appl. Methods 42, No. 3, 833-847 (2021). Reviewer: Kurt Marti (München) MSC: 93E20 60H10 49N10 × Cite Format Result Cite Review PDF Full Text: DOI
Li, Na; Xiong, Jie; Yu, Zhiyong Linear-quadratic generalized Stackelberg games with jump-diffusion processes and related forward-backward stochastic differential equations. (English) Zbl 1481.60112 Sci. China, Math. 64, No. 9, 2091-2116 (2021). MSC: 60H10 91A65 93E20 × Cite Format Result Cite Review PDF Full Text: DOI
Huang, Jianhui; Si, Kehan; Wu, Zhen Linear-quadratic mixed Stackelberg-Nash stochastic differential game with major-minor agents. (English) Zbl 1471.91022 Appl. Math. Optim. 84, No. 3, 2445-2494 (2021). MSC: 91A15 91A16 91A65 91B24 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Zhou, Quan; Sun, Yabing Explicit high order one-step methods for decoupled forward backward stochastic differential equations. (English) Zbl 1488.65018 Adv. Appl. Math. Mech. 13, No. 6, 1293-1317 (2021). MSC: 65C30 60H10 60H35 × Cite Format Result Cite Review PDF Full Text: DOI
Hamaguchi, Yushi Small-time solvability of a flow of forward-backward stochastic differential equations. (English) Zbl 1470.60155 Appl. Math. Optim. 84, No. 1, 567-588 (2021). MSC: 60H10 45D05 × Cite Format Result Cite Review PDF Full Text: DOI arXiv