相关论文: Backward stochastic differential equations with st…

In this article we develop a new methodology to prove weak approximation results for general stochastic differential equations. Instead of using a partial differential equation approach as is usually done for diffusions, the approach…

We investigate the existence and uniqueness of non-Markovian second-order backward stochastic differential equations with an uncertain terminal horizon and establish comparison principles under the assumption that the driver is Lipschitz…

This article is concerned with stability and performance of controlled stochastic processes under receding horizon policies. We carry out a systematic study of methods to guarantee stability under receding horizon policies via appropriate…

We introduce a novel numerical approach for a class of stochastic dynamic programs which arise as discretizations of backward stochastic differential equations or semi-linear partial differential equations. Solving such dynamic programs…

We consider a class of reflected backward doubly stochastic differential equations with time delayed generator (in short RBDSDE with time delayed generator), in this case generator at time $t$ can depend on the values of a solution in the…

The paper describes a receding horizon control design framework for continuous-time stochastic nonlinear systems subject to probabilistic state constraints. The intention is to derive solutions that are implementable in real-time on…

In this article, we investigate both forward and backward problems for coupled systems of time-fractional diffusion equations, encompassing scenarios of strong coupling. For the forward problem, we establish the well-posedness of the…

We solve non-Markovian optimal switching problems in discrete time on an infinite horizon, when the decision maker is risk aware and the filtration is general, and establish existence and uniqueness of solutions for the associated reflected…

In this article we are interested in the boundary stabilization in finite time of one-dimensional linear hyperbolic balance laws with coefficients depending on time and space. We extend the so called "backstepping method" by introducing…

In this paper we study one dimensional backward stochastic differential equations (BSDEs) with random terminal time not necessarily bounded or finite when the generator F(t,Y,Z) has a quadratic growth in Z. We provide existence and…

A novel method to solve inverse problems for the wave equation is introduced. The method is a combination of the boundary control method and an iterative time reversal scheme, leading to adaptive imaging of coefficient functions of the wave…

In this paper, we study the backward stochastic differential equation (BSDE) with two nonlinear mean reflections, which means that the constraints are imposed on the distribution of the solution but not on its paths. Based on the backward…

Backward stochastic partial differential equations of parabolic type with variable coefficients are considered in smooth domains. Existence and uniqueness results are given in weighted Sobolev spaces allowing the derivatives of the…

This paper studies the convergence of a spatial semi-discretization for a backward semilinear stochastic parabolic equation. The filtration is general, and the spatial semi-discretization uses the standard continuous piecewise linear…

In this paper, we will investigate the moment exponential stabilization of highly nonlinear hybrid stochastic differential delay equations. A periodically intermittent controller based on discrete time state observations with asynchronous…

The time discretization of stochastic spectral fractional wave equation is studied by using the difference methods. Firstly, we exploit rectangle formula to get a low order time discretization, whose the strong convergence order is smaller…

In this paper we extend analysis of the WaveHoltz iteration -- a time-domain iterative method for the solution of the Helmholtz equation. We expand the previous analysis of energy conserving problems and prove convergence of the WaveHoltz…

We study linear stochastic partial differential equations of parabolic type. We consider a new boundary value problem where a Cauchy condition is replaced by a prescribed average of the solution either over time and probabilistic space for…

Stochastic optimization methods have been hugely successful in making large-scale optimization problems feasible when computing the full gradient is computationally prohibitive. Using the theory of modified equations for numerical…

In a dynamic framework, we identify a new concept associated with the risk of assessing the financial exposure by a measure that is not adequate to the actual time horizon of the position. This will be called horizon risk. We clarify that…