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Stochastic Maximum Principle for Generalized Mean-Field Delay Control Problem
In this paper, we first derive the existence and uniqueness theorems for solutions to a class of generalized mean-field delay stochastic differential...
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Numerical analysis of a Neumann boundary control problem with a stochastic parabolic equation
This paper analyzes the discretization of a Neumann boundary control problem with a stochastic parabolic equation, where an additive noise occurs in...
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Backward Linear-Quadratic Mean Field Social Optima with Partial Information
This paper is concerned with the linear-quadratic social optima for a class of N weakly coupled backward system with partial information structure....
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Strong convergence rate of the stochastic theta method for nonlinear hybrid stochastic differential equations with piecewise continuous arguments
We consider the strong convergence of the stochastic theta (ST) method for highly nonlinear hybrid stochastic differential equations with piecewise...
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Error Analysis of the Feedback Controls Arising in the Stochastic Linear Quadratic Control Problems
In this work, the author proposes a discretization for stochastic linear quadratic control problems (SLQ problems) subject to stochastic differential...
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A Class of Optimal Control Problems of Forward–Backward Systems with Input Constraint
In this paper, we consider a new class of optimal control problems with admissibility constraint, where the state is driven by a fully coupled...
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Reflected Backward Stochastic Differential Equation with Rank-Based Data
In this paper, we study reflected backward stochastic differential equation (reflected BSDE) with rank-based data in a Markovian framework; that is,...
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Delay-dependent stability of predictor–corrector methods of Runge–Kutta type for stochastic delay differential equations
The delay-dependent mean square stability of stochastic delay differential equations is in the forefront the structure-preserving numerical...
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Mixed Zero-Sum Stochastic Differential Game and Doubly Reflected BSDEs with a Specific Generator
This paper studies the mixed zero-sum stochastic differential game problem. We allow the functionals and dynamics to be of polynomial growth. The...
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Linear-Quadratic Optimal Control Problems for Mean-Field Stochastic Differential Equation with Lévy Process
This paper investigates a linear-quadratic mean-field stochastic optimal control problem under both positive definite case and indefinite case where...
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Stochastic Representation of the Neutron Transport Equation
In this chapter, we break away from the classical view of the NTE described in Chap. 1 and begin our...
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Strong Convergence and Asymptotic Exponential Stability of Modified Truncated EM Method for Neutral Stochastic Differential Equations with Time-dependent Delay
In this paper, we consider asymptotic exponential stability of the exact solution and the corresponding modified truncated EM (MTEM) method for...
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Geometric thermodynamics for the Fokker–Planck equation: stochastic thermodynamic links between information geometry and optimal transport
We propose a geometric theory of non-equilibrium thermodynamics, namely geometric thermodynamics, using our recent developments of...
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High-order Combined Multi-step Scheme for Solving Forward Backward Stochastic Differential Equations
In this work, in order to obtain higher-order schemes for solving forward backward stochastic differential equations, we propose a new multi-step...
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Present-biased lobbyists in linear–quadratic stochastic differential games
We investigate a linear–quadratic stochastic zero-sum game where two players lobby a political representative to invest in a wind farm. Players are...
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A regression-based Monte Carlo method to solve two-dimensional forward backward stochastic differential equations
The purpose of this paper is to investigate the numerical solutions to two-dimensional forward backward stochastic differential equations(FBSDEs)....
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A Mean-Field Optimal Control for Fully Coupled Forward-Backward Stochastic Control Systems with Lévy Processes
This paper is concerned with a class of mean-field type stochastic optimal control systems, which are governed by fully coupled mean-field...
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An efficient approximation to the stochastic Allen-Cahn equation with random diffusion coefficient field and multiplicative noise
This paper studies the stochastic Allen-Cahn equation involving random diffusion coefficient field and multiplicative force noise. A new...