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科研机构
山东大学 [21]
数学与系统科学研究院 [5]
北京大学 [1]
暨南大学 [1]
湖南大学 [1]
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期刊论文 [27]
会议论文 [1]
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浏览/检索结果:
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Backward Stochastic Differential Equations Driven byG-Brownian Motion with Double Reflections
期刊论文
JOURNAL OF THEORETICAL PROBABILITY, 2020, 页码: 30
作者:
Li, Hanwu
;
Song, Yongsheng
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  |  
浏览/下载:47/0
  |  
提交时间:2021/01/14
G-expectation
Reflected backward SDE
Approximate Skorohod condition
Stochastic Optimal Control Problem with Obstacle Constraints in Sublinear Expectation Framework
期刊论文
JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS, 2019, 卷号: 183, 期号: 2, 页码: 422-439
作者:
Li, Hanwu
;
Wang, Falei
收藏
  |  
浏览/下载:9/0
  |  
提交时间:2019/12/11
Sublinear expectation
Reflected backward stochastic differential
equations
Dynamic programming principle
Backward stochastic differential equations with rank-based data
期刊论文
中国科学. 数学, 2018, 卷号: 61, 期号: 1, 页码: 27-56
作者:
Chen Zhenqing
;
Feng Xinwei
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  |  
浏览/下载:5/0
  |  
提交时间:2019/12/11
backward stochastic differential equations
ranked particles
named
particles
reflected Brownian motion
partial differential equations
viscosity solution
Backward stochastic differential equations with rank-based data
期刊论文
Science China(Mathematics), 2018, 期号: 01, 页码: 27-56
作者:
Zhen-qing Chen
;
Xinwei Feng
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  |  
浏览/下载:4/0
  |  
提交时间:2019/12/11
backward stochastic differential equations
ranked particles
named particles
reflected Brownian motion
partial differential equations
viscosity solution
Infinite horizon reflected backward stochastic differential equations with Markov chains
期刊论文
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2018, 卷号: 47, 期号: 14, 页码: 3360-3376
作者:
Lv, Siyu
;
Wu, Zhen
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  |  
浏览/下载:6/0
  |  
提交时间:2019/12/11
Backward stochastic differential equation
comparison theorem
infinite
horizon
Markov chain
reflected backward stochastic differential
equation
Reflected solutions of backward stochastic differential equations driven by G-Brownian motion
期刊论文
中国科学. 数学, 2018, 卷号: 61, 期号: 1, 页码: 1-26
作者:
Li Hanwu
;
Peng Shige
;
Abdoulaye Soumana Hima
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  |  
浏览/下载:4/0
  |  
提交时间:2019/12/11
G-expectation
reflected backward stochastic differential equations
obstacle problems for fully nonlinear PDEs
A sufficient stochastic maximum principle for a kind of recursive optimal control problem with obstacle constraint
期刊论文
SYSTEMS & CONTROL LETTERS, 2018, 卷号: 114, 页码: 27-30
作者:
Huang, Jianhui
;
Wang, Haiyang
;
Wu, Zhen
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  |  
浏览/下载:4/0
  |  
提交时间:2019/12/11
Maximum principle
Reflected backward stochastic differential equations
Recursive optimal control problems
Mixed control problems
Clarke's
generalized gradient
Reflected solutions of backward stochastic differential equations driven by G-Brownian motion
期刊论文
Science China(Mathematics), 2018, 期号: 01, 页码: 1-26
作者:
Hanwu Li
;
Shige Peng
;
Abdoulaye Soumana Hima
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  |  
浏览/下载:3/0
  |  
提交时间:2019/12/11
G-expectation
reflected backward stochastic differential equations
obstacle problems for fully nonlinear PDEs
REFLECTED BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS WITH RESISTANCE
期刊论文
ANNALS OF APPLIED PROBABILITY, 2018, 卷号: 28, 期号: 2, 页码: 888
作者:
Qian, Zhongmin
;
Xu, Mingyu
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  |  
浏览/下载:7/0
  |  
提交时间:2019/12/31
Reflected forward-backward stochastic differential equations and related PDEs
期刊论文
STOCHASTIC ANALYSIS AND APPLICATIONS, 2016, 卷号: 34, 期号: 5, 页码: 906-926
作者:
Li, Wenqiang
;
Peng, Ying
;
Liu, Junbo
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  |  
浏览/下载:4/0
  |  
提交时间:2019/12/17
Forward-backward stochastic differential equations
reflected backward
stochastic differential equations
reflected forward-backward stochastic
differential equations (reflected FBSDEs)
comparison theorem
viscosity
solution
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