Related papers: BSDEs driven by time-changed L\'evy noises and opt…
This paper is concerned with a Stackelberg game of backward stochastic differential equations (BSDEs), where the coefficients of the backward system and the cost functionals are deterministic, and the control domain is convex. Necessary and…
This article is concerned with an optimal control problem derived by mean-field forward-backward stochastic differential equation with noisy observation, where the drift coefficients of the state equation and the observation equation are…
We find analytical solution of pair of stochastic equations with arbitrary forces and multiplicative L\'evy noises in a steady-state nonequilibrium case. This solution shows that L\'evy flights suppress always a quasi-periodical motion…
We study stochastic differential equations (SDEs) of McKean-Vlasov type with distribution dependent drifts and driven by pure jump L\'{e}vy processes. We prove a uniform in time propagation of chaos result, providing quantitative bounds on…
In this paper, we study the discrete time filtering problems for linear systems driven by fractional noises. The main difficulty comes from the non-Markovian of the noises. We construct the difference equation of the covariance process…
We consider a stochastic optimal control problem for an heat equation with boundary noise and boundary controls. Under suitable assumptions on the coefficients, we prove existence of optimal controls in strong sense by solving the…
In this paper, we study backward stochastic differential equations driven by G-Brownian motion where the generator has time-varying monotonicity with respect to y and Lipsitz property with respect to z. Through the Yosida approximation, we…
This paper studies the weak convergence order of the stochastic theta method for stochastic differential equations (SDEs) driven by time-changed L\'{e}vy noise under global Lipschitz and linear growth conditions. In contrast to classical…
In this paper, we study the existence and uniqueness of solutions to a class of non-Lipschitz G-BSDEs and the corresponding stochastic recursive optimal control problem. More precisely, we suppose that the generator of G-BSDE is uniformly…
In this paper, we study the solvability of a class of multi-dimensional forward backward stochastic differential equations (FBSDEs) with oblique reflection and unbounded stopping time. Under some mild assumptions on the coefficients in such…
A thermodynamic system is driven into a nonequilibrium condition when a time-dependent force or a nonconservative force represented by a protocol $\lambda(t)$ is applied. Such a system is time irreversible in the sense that the motion under…
We consider controlling the paths of a spectrally negative L\'evy process by two means: the subtraction of `taxes' when the process is at an all-time maximum, and the addition of `bailouts' which keep the value of the process above zero. We…
We study a constrained optimal control problem with possibly degenerate coefficients arising in models of optimal portfolio liquidation under market impact. The coefficients can be random in which case the value function is described by a…
In this paper, we study the existence of an optimal strategy for the stochastic control of diffusion in general case and a saddle-point for zero-sum stochastic differential games. The problem is formulated as an extended BSDE with…
In this paper, we study a multi-dimensional backward stochastic differential equation (BSDE) with oblique reflection, which is a BSDE reflected on the boundary of a special unbounded convex domain along an oblique direction, and which…
A novel approach to design the feedback control based on past states is proposed for hybrid stochastic differential equations (HSDEs). This new theorem builds up the connection between the delay feedback control and the control function…
This paper studies a time optimal control problem with control constraints of the rectangular type for the linear multi-input time-varying ordinary differential equations. The aims of this study are to establish certain necessary and…
We consider a class of backward stochastic differential equations (BSDEs) with singular terminal condition and develop a numerical scheme to approximate their solution. To this end, we extend an asymptotic development of the BSDE solution…
We establish the large deviation principle for the slow variables in slow-fast dynamical system driven by both Brownian noises and L\'evy noises. The fast variables evolve at much faster time scale than the slow variables, but they are…
This paper develops an $\alpha$-parametrized framework for analyzing the strong convergence of the stochastic theta (ST) method for stochastic differential equations driven by time-changed L\'evy noise (TCSDEwLNs) with time-space-dependent…