backward sde Latest Research Papers

Lévy Backward SDE Filter for Jump Diffusion Processes and Its Applications in Material Sciences

Communications in Computational Physics ◽

10.4208/cicp.oa-2018-0238 ◽

2020 ◽

Vol 27 (2) ◽

pp. 589-618 ◽

Cited By ~ 2

Author(s):

Feng Bao

Keyword(s):

Diffusion Processes ◽

Jump Diffusion ◽

Jump Diffusion Processes ◽

Material Sciences ◽

Backward Sde

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Second order backward SDE with random terminal time

Electronic Journal of Probability ◽

10.1214/20-ejp498 ◽

2020 ◽

Vol 25 (0) ◽

Author(s):

Yiqing Lin ◽

Zhenjie Ren ◽

Nizar Touzi ◽

Junjian Yang

Keyword(s):

Second Order ◽

Terminal Time ◽

Backward Sde

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Adaptive Meshfree Backward SDE Filter

SIAM Journal on Scientific Computing ◽

10.1137/16m1100277 ◽

2017 ◽

Vol 39 (6) ◽

pp. A2664-A2683 ◽

Cited By ~ 3

Author(s):

Feng Bao ◽

Vasileios Maroulas

Keyword(s):

Backward Sde

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Book Review: Optimal stochastic control, stochastic target problems, and backward SDE

Bulletin of the American Mathematical Society ◽

10.1090/bull/1548 ◽

2016 ◽

Vol 54 (2) ◽

pp. 333-339

Author(s):

Jaime San Martín

Keyword(s):

Stochastic Control ◽

Optimal Stochastic Control ◽

Stochastic Target Problems ◽

Backward Sde

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Long time asymptotics for fully nonlinear Bellman equations: A backward SDE approach

Stochastic Processes and their Applications ◽

10.1016/j.spa.2015.12.009 ◽

2016 ◽

Vol 126 (7) ◽

pp. 1932-1973 ◽

Cited By ~ 17

Author(s):

Andrea Cosso ◽

Marco Fuhrman ◽

Huyên Pham

Keyword(s):

Fully Nonlinear ◽

Bellman Equations ◽

Time Asymptotics ◽

Long Time ◽

Backward Sde ◽

Long Time Asymptotics

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Backward SDE representation for stochastic control problems with nondominated controlled intensity

The Annals of Applied Probability ◽

10.1214/15-aap1115 ◽

2016 ◽

Vol 26 (2) ◽

pp. 1208-1259 ◽

Cited By ~ 5

Author(s):

Sébastien Choukroun ◽

Andrea Cosso

Keyword(s):

Stochastic Control ◽

Control Problems ◽

Stochastic Control Problems ◽

Backward Sde

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$G$-expectation weighted Sobolev spaces, backward SDE and path dependent PDE

Journal of the Mathematical Society of Japan ◽

10.2969/jmsj/06741725 ◽

2015 ◽

Vol 67 (4) ◽

pp. 1725-1757 ◽

Cited By ~ 8

Author(s):

Shige PENG ◽

Yongsheng SONG

Keyword(s):

Sobolev Spaces ◽

Weighted Sobolev Spaces ◽

Backward Sde ◽

Path Dependent

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Randomized and backward SDE representation for optimal control of non-Markovian SDEs

The Annals of Applied Probability ◽

10.1214/14-aap1045 ◽

2015 ◽

Vol 25 (4) ◽

pp. 2134-2167 ◽

Cited By ~ 7

Author(s):

Marco Fuhrman ◽

Huyên Pham

Keyword(s):

Optimal Control ◽

Backward Sde

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Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE

10.1007/978-1-4614-4286-8 ◽

2013 ◽

Cited By ~ 64

Author(s):

Nizar Touzi

Keyword(s):

Stochastic Control ◽

Optimal Stochastic Control ◽

Stochastic Target Problems ◽

Backward Sde

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A forward–backward SDE approach to affine models

Mathematics and Financial Economics ◽

10.1007/s11579-009-0016-z ◽

2009 ◽

Vol 2 (2) ◽

pp. 107-128 ◽

Cited By ~ 7

Author(s):

Cody Blaine Hyndman

Keyword(s):

Affine Models ◽

Backward Sde

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backward sde
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H-INDEX

Lévy Backward SDE Filter for Jump Diffusion Processes and Its Applications in Material Sciences

Second order backward SDE with random terminal time

Adaptive Meshfree Backward SDE Filter

Book Review: Optimal stochastic control, stochastic target problems, and backward SDE

Long time asymptotics for fully nonlinear Bellman equations: A backward SDE approach

Backward SDE representation for stochastic control problems with nondominated controlled intensity

$G$-expectation weighted Sobolev spaces, backward SDE and path dependent PDE

Randomized and backward SDE representation for optimal control of non-Markovian SDEs

Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE

A forward–backward SDE approach to affine models

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backward sdeRecently Published Documents

TOTAL DOCUMENTS

H-INDEX

Lévy Backward SDE Filter for Jump Diffusion Processes and Its Applications in Material Sciences

Second order backward SDE with random terminal time

Adaptive Meshfree Backward SDE Filter

Book Review: Optimal stochastic control, stochastic target problems, and backward SDE

Long time asymptotics for fully nonlinear Bellman equations: A backward SDE approach

Backward SDE representation for stochastic control problems with nondominated controlled intensity

$G$-expectation weighted Sobolev spaces, backward SDE and path dependent PDE

Randomized and backward SDE representation for optimal control of non-Markovian SDEs

Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE

A forward–backward SDE approach to affine models

backward sde
Recently Published Documents