Non-Zero Sum Differential Games of Backward Stochastic Differential Delay Equations Under Partial Information
Sign Up to like & getrecommendations! Published in 2017 at "Asian Journal of Control"
DOI: 10.1002/asjc.1382
Abstract: In this paper, we study a new type of differential game problems of backward stochastic differential delay equations under partial information. A class of time-advanced stochastic differential equations ASDEs is introduced as the adjoint process… read more here.
Keywords: partial information; stochastic differential; backward stochastic; equations partial ... See more keywords
A risk‐sensitive stochastic maximum principle for fully coupled forward‐backward stochastic differential equations with applications
Sign Up to like & getrecommendations! Published in 2019 at "Asian Journal of Control"
DOI: 10.1002/asjc.2020
Abstract: In this paper, we are interested in the problem of optimal control where the system is given by a fully coupled forward‐backward stochastic differential equation with a risk‐sensitive performance functional. As a preliminary step, we… read more here.
Keywords: backward stochastic; forward backward; risk sensitive; fully coupled ... See more keywords
Multi‐valued backward stochastic differential equations driven by G‐Brownian motion and its applications
Sign Up to like & getrecommendations! Published in 2017 at "Mathematical Methods in The Applied Sciences"
DOI: 10.1002/mma.4335
Abstract: In this paper, we prove the existence and uniqueness of a solution for a class of backward stochastic differential equations driven by G-Brownian motion with subdifferential operator by means of the Moreau–Yosida approximation method. Moreover,… read more here.
Keywords: stochastic differential; backward stochastic; brownian motion; equations driven ... See more keywords
Stochastic stability and stabilization for stochastic differential semi‐Markov jump systems with incremental quadratic constraints
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DOI: 10.1002/rnc.5643
Abstract: The problem of the stochastic stability analysis and state feedback stabilization for nonlinear stochastic differential semi‐Markov jump systems with incremental quadratic constraints is investigated in this article. Different from Markovian process, the transition rate is… read more here.
Keywords: stochastic stability; stochastic differential; semi markov; incremental quadratic ... See more keywords
Approximate maximum likelihood estimation for stochastic differential equations with random effects in the drift and the diffusion
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DOI: 10.1007/s00184-018-0666-z
Abstract: Consider N independent stochastic processes $$(X_i(t), t\in [0,T])$$(Xi(t),t∈[0,T]), $$i=1,\ldots , N$$i=1,…,N, defined by a stochastic differential equation with random effects where the drift term depends linearly on a random vector $$\Phi _i$$Φi and the diffusion… read more here.
Keywords: effects drift; estimation; diffusion; stochastic differential ... See more keywords
The Magnus Expansion for Stochastic Differential Equations
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DOI: 10.1007/s00332-019-09578-9
Abstract: In this paper, all the terms in the stochastic Magnus expansion are presented by rooted trees. First, stochastic Magnus methods for linear stochastic differential equations are constructed by truncating the stochastic Magnus expansion. Then, explicit… read more here.
Keywords: stochastic magnus; magnus expansion; differential equations; stochastic differential ... See more keywords
Anticipated mean-field backward stochastic differential equations with jumps∗
Sign Up to like & getrecommendations! Published in 2020 at "Lithuanian Mathematical Journal"
DOI: 10.1007/s10986-020-09484-8
Abstract: In this paper we prove the existence and uniqueness theorem, comparison theorem of a class of anticipated mean-field backward stochastic differential equations with jumps. read more here.
Keywords: mean field; stochastic differential; field backward; backward stochastic ... See more keywords
The truncated Euler–Maruyama method for stochastic differential delay equations
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DOI: 10.1007/s11075-017-0391-0
Abstract: The numerical solutions of stochastic differential delay equations (SDDEs) under the generalized Khasminskii-type condition were discussed by Mao (Appl. Math. Comput. 217, 5512–5524 2011), and the theory there showed that the Euler–Maruyama (EM) numerical solutions… read more here.
Keywords: numerical solutions; stochastic differential; euler maruyama; differential delay ... See more keywords
An M-estimator for stochastic differential equations driven by fractional Brownian motion with small Hurst parameter
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DOI: 10.1007/s11203-020-09214-4
Abstract: Let us consider a stochastic differential equation driven by a fractional Brownian motion with Hurst parameter $$1/4< H < 1/2$$ 1 / 4 < H < 1 / 2 . We are interested in estimating… read more here.
Keywords: fractional brownian; stochastic differential; driven fractional; brownian motion ... See more keywords
Reflected solutions of backward stochastic differential equations driven by G-Brownian motion
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DOI: 10.1007/s11425-017-9176-0
Abstract: In this paper, we study the reflected solutions of one-dimensional backward stochastic differential equations driven by G-Brownian motion. The reflection keeps the solution above a given stochastic process. In order to derive the uniqueness of… read more here.
Keywords: stochastic differential; backward stochastic; equations driven; differential equations ... See more keywords
General decay asymptotic stability of neutral stochastic differential delayed equations with Markov switching
Sign Up to like & getrecommendations! Published in 2019 at "Frontiers of Mathematics in China"
DOI: 10.1007/s11464-019-0781-9
Abstract: The p-th moment and almost sure stability with general decay rate of the exact solutions of neutral stochastic differential delayed equations with Markov switching are investigated under given conditions. Two examples are provided to support… read more here.
Keywords: differential delayed; stochastic differential; equations markov; general decay ... See more keywords