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A Strong Averaging Principle Rate for Two-Time-Scale Coupled Forward–Backward Stochastic Differential Equations Driven by Fractional Brownian Motion 期刊论文
Applied Mathematics and Optimization,2023, 卷号: 88, 期号: 2
作者:  Xu, Jie;  Lian, Qiqi;  Wu, Jianglun
收藏  |  浏览/下载：20/0  |  提交时间：2023/12/20
Density Estimates for the Solutions of Backward Stochastic Differential Equations Driven by Gaussian Processes 期刊论文
Potential Analysis,2021, 卷号: 54, 期号: 3, 页码: 483-501
作者:  Fan, Xiliang;  Wu, Jianglun
收藏  |  浏览/下载：16/0  |  提交时间：2023/05/30
An efficient gradient projection method for stochastic optimal control problems 期刊论文
SIAM Journal on Numerical Analysis,2017, 卷号: 55, 期号: 6, 页码: 2982-3005
作者:  Gong, Bo;  Liu, Wenbin;  Tang, Tao;  Zhao, Weidong;  Zhou, Tao
收藏  |  浏览/下载：35/0  |  提交时间：2021/05/10
Deferred Correction Methods for Forward Backward Stochastic Differential Equations 期刊论文
Numerical Mathematics,2017, 卷号: 10, 期号: 2, 页码: 222-242
作者:  Tang, Tao;  Zhao, Weidong;  Zhou, Tao
收藏  |  浏览/下载：14/0  |  提交时间：2021/05/10
Discrete time approximation of fully nonlinear HJB equations via BSDES with nonpositive jumps 期刊论文
Annals of Applied Probability,2015, 卷号: 25, 期号: 4, 页码: 2301-2338
作者:  Kharroubi, Idris;  Langrené, Nicolas;  Pham, Huyên
收藏  |  浏览/下载：10/0  |  提交时间：2022/08/29
A numerical algorithm for fully nonlinear HJB equations: An approach by control randomization 期刊论文
Monte Carlo Methods and Applications,2014, 卷号: 20, 期号: 2, 页码: 145-165
作者:  Kharroubi, Idris;  Langrené, Nicolas;  Pham, Huyên
收藏  |  浏览/下载：13/0  |  提交时间：2022/08/29