全部文献期刊学位论文会议报纸专利标准年鉴图书|学者科研项目
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作者:Shaolin Ji , Haodong Liu , Xinling Xiao
来源:[J].Advances in Difference Equations(IF 0.76), 2016, Vol.2016 (1), pp.1-18Springer
摘要:Abstract(#br)We define fully coupled forward-backward stochastic differential equations on spaces related to continuous-time finite-state Markov chains. Existence and uniqueness results of the fully coupled forward-backward stochastic differential equations on Markov chains are o...
作者:Li Chen , Zhen Wu
来源:[J].Chinese Annals of Mathematics, Series B(IF 0.504), 2011, Vol.32 (2), pp.279-292Springer
摘要:Abstract(#br)The authors discuss one type of general forward-backward stochastic differential equations (FBSDEs) with Itô’s stochastic delayed equations as the forward equations and anticipated backward stochastic differential equations as the backward equations. The exis...
作者:Xiaoxu Zhong , Shijun Liao
来源:[J].Numerical Algorithms(IF 1.128), 2017, Vol.76 (2), pp.487-519Springer
摘要:In this paper, an analytic approximation method for highly nonlinear equations, namely the homotopy analysis method (HAM), is employed to solve some backward stochastic differential equations (BSDEs) and forward-backward stochastic differential equations (FBSDEs), including one w...
作者:Qing Zhou , Yong Ren , Weixing Wu
来源:[J].Journal of Systems Science and Complexity(IF 0.263), 2017, Vol.30 (4), pp.828-856Springer
摘要:This paper considers the problem of partially observed optimal control for forward-backward stochastic systems driven by Brownian motions and an independent Poisson random measure with a feature that the cost functional is of mean-field type. When the coefficients of the system a...
作者:Shuaiqi Zhang , Jie Xiong , Xiangdong Liu
来源:[J].Science China Information Sciences(IF 0.706), 2018, Vol.61 (7), pp.1-13Springer
摘要:Abstract(#br)In this article, we consider the partially observed optimal control problem for forward-backward stochastic systems with Markovian regime switching. A stochastic maximum principle for optimal control is developed using a variational method and filtering technique. Ou...
作者:Wei Zhang , Weidong Zhao
来源:[J].Frontiers of Mathematics in China(IF 0.323), 2015, Vol.10 (2), pp.415-434Springer
摘要:Abstract(#br)We introduce a new Euler-type scheme and its iterative algorithm for solving weakly coupled forward-backward stochastic differential equations (FBSDEs). Although the schemes share some common features with the ones proposed by C. Bender and J. Zhang [Ann. Appl. ...
作者:Na Li , Zhiyong Yu
来源:[J].Advances in Difference Equations(IF 0.76), 2015, Vol.2015 (1), pp.1-19Springer
摘要:Abstract(#br)This paper presents an existence and uniqueness result for a kind of forward-backward stochastic differential equations (FBSDEs for short) driven by Brownian motion and Poisson process under some monotonicity conditions. By virtue of the conclusion of FBSDEs, we solv...
作者:Hui Min , Ying Peng , Yongli Qin
来源:[J].Abstract and Applied Analysis(IF 1.102), 2014, Vol.2014DOAJ
摘要:We discuss a new type of fully coupled forward-backward stochastic differential equations (FBSDEs) whose coefficients depend on the states of the solution processes as well as their expected values, and we call them fully coupled mean-field forward-backward stochastic differential equations...
作者:Jingtao Shi , Guangchen Wang , Jie Xiong
来源:[J].Science China Information Sciences(IF 0.706), 2017, Vol.60 (9)Springer
摘要:This paper is concerned with a linear-quadratic stochastic Stackelberg differential game, where players have asymmetric roles, with one leader and one follower in the context of two-person game. It is required that the information available to the follower is a sub- σ -algebra ...
作者:Yuxia Su , Lu Lin
来源:[J].Communications in Statistics - Theory and Methods(IF 0.298), 2009, Vol.38 (11), pp.1759-1775Taylor & Francis
摘要:In this article, we suggest a semi-parametric estimation for Forward-Backward Stochastic Differential Equations (FBSDE), with a linear generator. Both the nonparametric and parametric estimators are computationally feasible and the asymptotic properties are standard in the sense ...

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