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We consider a mean-field optimal control problem for stochastic differential equations with delay driven by fractional Brownian motion with Hurst parameter greater than one half. Stochastic optimal control problems driven by fractional…
In this paper we investigate a kind of optimal control problem of coupled forward-backward stochastic system with jumps whose cost functional is defined through a coupled forward-backward stochastic differential equation with Brownian…
In this paper, we study the existence and uniqueness of $\mathbb{L}^p$-solutions for $p \in (1, 2)$, first for backward stochastic differential equations (BSDEs) in a general filtration that supports a Brownian motion and an independent…
In this paper, we study an optimal control problem of linear backward stochastic differential equation (BSDE) with quadratic cost functional under partial information. This problem is solved completely and explicitly by using a stochastic…
In this paper, we study a class of multi-dimensional reflected backward stochastic differential equations when the noise is driven by a Brownian motion and an independent Poisson point process, and when the solution is forced to stay in a…
This paper is concerned with the existence and uniqueness of weak solutions to the Cauchy-Dirichlet problem of backward stochastic partial differential equations (BSPDEs) with nonhomogeneous terms of quadratic growth in both the gradient of…
We study multidimensional generalized backward stochastic differential equations (GBSDEs) within a general filtration that supports a Brownian motion under weak assumptions on the associated data. We establish the existence and uniqueness…
In this article we consider a stochastic optimal control problem where the dynamics of the state process, $X(t)$, is a controlled stochastic differential equation with jumps, delay and \emph{noisy memory}. The term noisy memory is, to the…
In this paper, we study a class of stochastic differential equations with additive noise that contains a fractional Brownian motion (fBM) and a Poisson point process of class (QL). The differential equation of this kind is motivated by the…
The paper is concerned with optimal control of backward stochastic differential equation (BSDE) driven by Teugel's martingales and an independent multi-dimensional Brownian motion, where Teugel's martingales are a family of pairwise…
We unify and extend the semigroup and the PDE approaches to stochastic maximal regularity of time-dependent semilinear parabolic problems with noise given by a cylindrical Brownian motion. We treat random coefficients that are only…
In this paper, a partially observed stochastic linear Stackelberg differential game with mean-variance criteria is studied. Randomness comes from Brownian motions and Poisson random measures. which leads to a circular dependency. We follow…
In this paper we consider the maximum principle of optimal control for a stochastic control problem. This problem is governed by a system of fully coupled multi-dimensional forward-backward doubly stochastic differential equation with…
In this paper, we consider a general time-inconsistent optimal control problem for a non homogeneous linear system, in which its state evolves according to a stochastic differential equation with deterministic coefficients, when the noise…
We study the discrete-time approximation for solutions of quadratic forward back- ward stochastic differential equations (FBSDEs) driven by a Brownian motion and a jump process which could be dependent. Assuming that the generator has a…
In the past decade, an intensive study of strong approximation of stochastic differential equations (SDEs) with a drift coefficient that has discontinuities in space has begun. In the majority of these results it is assumed that the drift…
This paper is concerned with the existence of optimal controls for backward stochastic partial differential equations with random coefficients, in which the control systems are represented in an abstract evolution form, i.e. backward…
We study pathwise approximation of scalar stochastic differential equations at a single point. We provide the exact rate of convergence of the minimal errors that can be achieved by arbitrary numerical methods that are based (in a…
Stochastic evolution equations with compensated Poisson noise are considered in the variational approach with monotone and coercive coefficients. Here the Poisson noise is assumed to be time-homogeneous with $\sigma$-finite intensity…
The aim of this paper is to derive a maximum principle for a control problem governed by a stochastic partial differential equation (SPDE) with locally monotone coefficients. In particular, necessary conditions for optimality for this…