Singular optimal controls of stochastic recursive systems and Hamilton–Jacobi–Bellman inequality
Sign Up to like & getrecommendations! Published in 2019 at "Journal of Differential Equations"
DOI: 10.1016/j.jde.2018.11.006
Abstract: In this paper, we study the optimal singular controls for stochastic recursive systems, in which the control has two components: the regular control, and the singular control. Under certain assumptions, we establish the dynamic programming… read more here.
Keywords: controls stochastic; recursive systems; stochastic recursive; bellman inequality ... See more keywords
Singular optimal controls for stochastic recursive systems under convex control constraint
Sign Up to like & getrecommendations! Published in 2021 at "Journal of Mathematical Analysis and Applications"
DOI: 10.1016/j.jmaa.2020.124905
Abstract: Abstract In this paper, we study two kinds of singular optimal controls (SOCs for short) problems where the systems governed by forward-backward stochastic differential equations (FBSDEs for short), in which the control has two components:… read more here.
Keywords: singular optimal; stochastic recursive; control; optimal controls ... See more keywords
Moderate deviations-based importance sampling for stochastic recursive equations
Sign Up to like & getrecommendations! Published in 2017 at "Advances in Applied Probability"
DOI: 10.1017/apr.2017.31
Abstract: Abstract Subsolutions to the Hamilton–Jacobi–Bellman equation associated with a moderate deviations approximation are used to design importance sampling changes of measure for stochastic recursive equations. Analogous to what has been done for large deviations subsolution-based… read more here.
Keywords: stochastic recursive; moderate deviations; importance sampling; based importance ... See more keywords