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Faculty of Science and Tech...
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4
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WU Jianglun
3
ELSAWAH Ahmed Mohamed
1
LANGRENÉ Nicolas
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2024
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2015
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Backward stochastic differe...
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Characterization theorem
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Fréchet differentiation
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Annals of Applied Probabili...
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Expert Systems with Applica...
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Science China Mathematics
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A novel efficient technique for solving nonlinear stochastic Itô–Volterra integral equations
Journal article
Expert Systems with Applications,2024, volume: 238
Authors:
Boukhelkhal, Ikram
;
Zeghdane, Rebiha
;
Elsawah, A. M.
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View/Download:13/0
  |  
Submit date:2024/03/12
Collocation method
Gauss–Legendre quadrature
Generalized Lagrange functions
Jacobi nodes
Nonlinear stochastic integral equations
Discrete time approximation of fully nonlinear HJB equations via BSDES with nonpositive jumps
Journal article
Annals of Applied Probability,2015, volume: 25, issue: 4, pages: 2301-2338
Authors:
Kharroubi, Idris
;
Langrené, Nicolas
;
Pham, Huyên
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  |  
View/Download:4/0
  |  
Submit date:2022/08/29
Backward stochastic differential equations
Discrete time approximation
Hamilton-Jacobi-Bellman equation
Nonlinear degenerate PDE
Optimal control
Sample
Necessary and sufficient conditions for path-independence of Girsanov transformation for infinite-dimensional stochastic evolution equations
Journal article
Frontiers of Mathematics in China,2014, volume: 9, issue: 3, pages: 601-622
Authors:
Wang, Miao
;
Wu, Jianglun
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View/Download:1/0
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Submit date:2023/05/30
Burgers-KPZ type nonlinear equations in infinite dimensions
Characterization theorem
Fréchet differentiation
Galerkin approximation
Girsanov transformation
infinite-dimensional semi-linear stochastic differential equations
path-independence
stochastic heat equation
A link of stochastic differential equations to nonlinear parabolic equations
Journal article
Science China Mathematics,2012, volume: 55, issue: 10, pages: 1971-1976
Authors:
Truman, Aubrey
;
Wang, Feng Yu
;
Wu, Jianglun
;
Yang, Wei
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View/Download:3/0
  |  
Submit date:2023/05/30
diffusion processes
nonlinear partial differential equation
stochastic differential equations
the Girsanov transformation
On a stochastic nonlinear equation arising from 1D integro-differential scalar conservation laws
Journal article
Journal of Functional Analysis,2006, volume: 238, issue: 2, pages: 612-635
Authors:
Truman, Aubrey
;
Wu, Jianglun
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View/Download:2/0
  |  
Submit date:2023/05/30
Lévy space-time white noise
Local existence and uniqueness
Stochastic integral equations of jump type
Stochastic nonlinear equations
Symmetric integro-differential operators