BSDE

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A BSDE Approach to Stochastic Differential Games Involving Impulse Controls and HJBI Equation被引量：1
《Journal of Systems Science & Complexity》2022年第3期766-801,共36页ZHANG Liangquan 
supported by the National Nature Science Foundation of China under Grant Nos.11701040,11871010,61871058;the Fundamental Research Funds for the Central Universities under Grant No.2019XDA11。
This paper focuses on zero-sum stochastic differential games in the framework of forwardbackward stochastic differential equations on a finite time horizon with both players adopting impulse controls.By means of BSDE ...
关键词：Dynamic programming principle(DPP) forward-backward stochastic differential equations(FBSDEs) Hamilton-Jacobi-Bellman-Isaacs(HJBI) impulse control stochastic differential games value function viscosity solution 
Controlled Mean-Field Backward Stochastic Differential Equations with Jumps Involving the Value Function被引量：3
《Journal of Systems Science & Complexity》2016年第5期1238-1268,共31页LI Juan MIN Hui 
supported by the National Natural Science Foundation of China under Grant Nos.11171187,11222110;Shandong Province under Grant No.JQ201202;Program for New Century Excellent Talents in University under Grant No.NCET-12-0331;111 Project under Grant No.B12023
This paper discusses mean-field backward stochastic differentiM equations （mean-field BS- DEs） with jumps and a new type of controlled mean-field BSDEs with jumps, namely mean-field BSDEs with jumps strongly coupled...
关键词：Dynamic programming principle （DPP） Hamilton-Jacobi-Bellman （HJB） equation mean-field backward stochastic differential equation （mean-field BSDE） with jump Poisson random measure value function. 
ON CONTROLLABILITY FOR STOCHASTIC CONTROL SYSTEMS WHEN THE COEFFICIENT IS TIME-VARIANT被引量：2
《Journal of Systems Science & Complexity》2010年第2期270-278,共9页Feng LIU Shige PENG 
supported by the National Natural Science Foundation under Grant Nos.60904029 and 60704002;the State Key Laboratory under Grant No.RCS2008ZT002
This paper investigates the controllability problem of time-variant linear stochastic controlsystems.A sufficient and necessary condition is established for stochastic exact controllability,whichprovides a useful alge...
关键词：Backward stochastic differential equation （BSDE） E-well-posedness Stochastic controlsystem stochastic exact controllability. 
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