位置：成果数据库 > 期刊 > 期刊详情页
Stochastic Maximum Principle for Optimal Control Problems of Forward -Backward Systems Involving Imp
  • 期刊名称：IEEE Trans. Auto. Control
  • 时间：0
  • 页码：1401-1406
  • 相关项目：金融数学-金融风险控制中的G-风险度量、倒向随机分析与计算
作者： Zhen Wu|Feng Zhang|
同期刊论文项目
金融数学-金融风险控制中的G-风险度量、倒向随机分析与计算
期刊论文 56 会议论文 9
同项目期刊论文
A stable multistep scheme for solving BSDEs
Backward stochastic viability and related properties on Z for BSDEs with applications
-error estimates for numerical schemes for solving certain kinds of backward stochastic differential
Dual method for continuous-time Markowitz’s problems with nonlinear wealth equations
Reflected Forward-Backward Stochastic Differential Equations with Continuous monotone Coefficients
Maximum principle for the stochastic optimal control problem with delay and application
Optimal Premium Policy of an Insurance Firm:
Maximum Principle for Partially- Observed Optimal Control of Fully- Coupled Forward-Backward Stochas
Finite element approximations for stokes-darcy flow with beavers-joseph interface conditions
On Jensen’s inequality and Holder’s inequality for g-expectation
BSDEs with random default time and related zero-sum
A Stochastic Maximum Principle for Optimal Control of Jump Diffusions and Applications to Finance
带反射边界的倒向随机微分方程解的收敛性
Relationship between MP and DPP for the Stochastic Optimal
Numerical solutions for forward backward doubly stochastic differential equations and zakai equation
A Maximum Principle for Partially Observed Optimal Control of Forward-Backward Stochastic Control Sy
Adaptive global confidence band for nonparametric
Backward stochastic differential equations with a uniformly continuous
A result on the uniqueness of generators of backward stochastic differential equations
The power of detecting enriched patterns:An HMM approach
A generalized Neyman–Pearson lemma under g-probabilitie
A Risk-Sensitive Stochastic Maximum Principle for Optimal Control of Jump Diffusions and its Applica
Function spaces and capacity related to a sublinear expectation: application to G-Brownian motion pa
BDSDEs with Locally Monotone Coefficients and Sobolev
Numerical algorithms for backward stochastic differential equations with 1-D Brownian motion: conver
On Model Selection Consistency of Bayesian Method for Normal Linear Models
A Comparison Theorem and Uniqueness Theorem of Backward Doubly Stochastic Differential Equations
多维线性回归有偏子模型的多步调整相合推断
容度的Borel-Cantelli引理
一类具有一致连续系数的倒向重随机微分方程
MAXIMUM PRINCIPLE FOR FORWARD-BACKWARD STOCHASTIC CONTROL SYSTEM WITH RANDOM JUMPS AND APPLICATIONS TO FINANCE