相关论文: Infinite horizon backward stochastic Volterra inte…

For an $\cF_T$-measurable payoff of a European type contingent claim, the recursive utility process/dynamic risk measure can be described by the adapted solution to a backward stochastic differential equation (BSDE). However, for an…

In this paper, the theory of mean-field backward doubly stochastic Volterra integral equations (MF-BDSVIEs) is studied. First, we derive the well-posedness of M-solutions to MFBDSVIEs, and prove the comparison theorem for such a type of…

In this paper we study a class of infinite horizon fully coupled forward-backward stochastic differential equations (FBSDEs), that are stimulated by various continuous time future expectations models with random coefficients. Under standard…

This paper investigates first the existence and uniqueness of solutions for McKean-Vlasov forward-backward doubly stochastic differential equations (MV-FBDSDEs) in infinite-dimensional real separable Hilbert spaces. These equations combine…

This paper is concerned with a discounted stochastic optimal control problem for regime switching diffusion in an infinite horizon. First, as a preliminary with particular interests in its own right, the global well-posedness of infinite…

In this note we consider a problem of stochastic optimal control with the infinite-time horizon. We present analogues of the Seierstad sufficient conditions of overtaking optimality based on the dual variables stochastic described by BSDEs…

In this paper, we study backward doubly stochastic integral equations of the Volterra type (BDSIEVs in short). Under uniform Lipschitz assumptions, we establish an existence and uniqueness result.

Path Integral Control methods were developed for stochastic optimal control covering a wide class of finite horizon formulations with control affine nonlinear dynamics. Characteristic for this class is that the HJB equation is linear and…

The aim is to prove the well-posedness of infinite horizon backward stochastic differential equations driven by $G$-Brownian motion ($G$-BSDEs) with quadratic generators. To this end, we provide a full construction of explicit solutions to…

In this paper, we study the necessary and sufficient conditions for ensuring the well-posedness of the stochastic singular systems. Moreover, we investigate the stochastic singular linear-quadratic control problems, considering both finite…

In this paper we study the existence of stationary solutions for stochastic partial differential equations. We establish a new connection between $L_{\rho}^2({\mathbb{R}^{d}};{\mathbb{R}^{1}}) \otimes…

In this paper, we establish the relationship between backward stochastic Volterra integral equations (BSVIEs, for short) and a kind of non-local quasilinear (and possibly degenerate) parabolic equations. We first introduce the extended…

Risk measure is a fundamental concept in finance and in the insurance industry, it is used to adjust life insurance rates. In this current paper, we will study dynamic risk measures by means of backward stochastic Volterra integral…

This paper is concerned with a kind of linear-quadratic (LQ) optimal control problem of backward stochastic differential equation (BSDE) with partial information. The cost functional includes cross terms between the state and control, and…

In this paper, we study backward stochastic Volterra integral equations of type-I with time delayed generators. Under some condition (small time horizon or a Lipschitz constant), we derive an existence and uniqueness results. Next, with the…

In this paper, infinite horizon stochastic difference equations and backward stochastic difference equations with fractional noises are studied. The main difficulty comes from fractional noises on infinite horizon. Motivated by…

This paper is concerned with a unified treatment of linear quadratic control problem for stochastic Volterra integral equations (SVIEs), motivated by the various approaches and scattered results in the existing literature. A novel class of…

This paper investigates a stochastic linear-quadratic (SLQ, for short) control problem regulated by a time-invariant Markov chain in infinite horizon. Under the $L^2$-stability framework, we study a class of linear backward stochastic…

We consider impulse control of stochastic functional differential equations (SFDEs) driven by L\'evy processes under an additional $L^p$-Lipschitz condition on the coefficients. Our results, which are first derived for a general stochastic…

The main purpose of this paper is to give a solution to a long-standing unsolved problem in stochastic control theory, i.e., to establish the Pontryagin-type maximum principle for optimal controls of general infinite dimensional nonlinear…