【期刊论文】Regularity Properties for General HJB Equations: A Backward Stochastic Differential Equation Method Read More: https://epubs.siam.org/doi/abs/10.1137/110828629
【期刊论文】Backward Stochastic Differential Equations Coupled with Value Function and Related Optimal Control Problems
【期刊论文】Lp estimates for fully coupled FBSDEs with jumps
【期刊论文】Nonlinear Stochastic Differential Games Involving a Major Player and a Large Number of Collectively Acting Minor Agents Read More: https://epubs.siam.org/doi/abs/10.1137/130933174
【期刊论文】Stochastic maximum principle in the mean-field controls
【期刊论文】Optimal Control Problems of Fully Coupled FBSDEs and Viscosity Solutions of Hamilton--Jacobi--Bellman Equations Read More: https://epubs.siam.org/doi/abs/10.1137/100816778
【期刊论文】BSDES in games, coupled with the value functions. associated nonlocal Bellman-Isaacs equations
【期刊论文】Stochastic Differential Games for Fully Coupled FBSDEs with Jumps
【期刊论文】Stochastic differential games with reflection and related obstacle problems for Isaacs equations
【期刊论文】Mean-field backward stochastic differential equations and related partial differential equations
【期刊论文】A Stochastic Maximum Principle for General Mean-Field Systems
【期刊论文】A General Stochastic Maximum Principle for SDEs of Mean-field Type
【期刊论文】Optimal Stochastic Control with Recursive Cost Functionals of Stochastic Differential Systems Reflected in a Domain
【期刊论文】Value function of differential games without Isaacs conditions. An approach with nonanticipative mixed strategies
【期刊论文】Representation of limit values for nonexpansive stochastic differential games
【期刊论文】Nash equilibrium payoffs for non-zero-sum stochastic differential games without Isaacs condition
【期刊论文】Representation Formulas for Limit Values of Long Run Stochastic Optimal Controls
【期刊论文】Stochastic representation for solutions of Isaacs’ type integral–partial differential equations
【期刊论文】Value in mixed strategies for zero-sum stochastic differential games without Isaacs condition
【期刊论文】General mean-field BSDEs with continuous coefficients
【期刊论文】Zero-sum and nonzero-sum differential games without Isaacs condition
【期刊论文】Representation of asymptotic values for nonexpansive stochastic control systems
【期刊论文】Stochastic Optimization Theory of Backward Stochastic Differential Equations Driven by G-Brownian Motion
【期刊论文】Weak Solutions of Mean-Field Stochastic Differential Equations and Application to Zero-Sum Stochastic Differential Games Read More: https://epubs.siam.org/doi/abs/10.1137/15M1015583
【期刊论文】A Mean-field Stochastic Control Problem with Partial Observations
【期刊论文】Weak Solutions of Mean-Field Stochastic Differential Equations and Application to Zero-Sum Stochastic Differential Games Read More: https://epubs.siam.org/doi/abs/10.1137/15M1015583
【期刊论文】Probabilistic interpretation for systems of Isaacs equations with two reflecting barriers
【期刊论文】Valuation of futures options with initial margin requirements and daily price limit
【期刊论文】Mean-field SDEs with jumps and nonlocal integral-PDEs
【期刊论文】Mean-field stochastic differential equations and associated PDEs
【期刊论文】Stochastic Differential Games and Viscosity Solutions of Hamilton–Jacobi–Bellman–Isaacs Equations
【期刊论文】A local strict comparison theorem and converse comparison theorems for reflected backward stochastic differential equations
【期刊论文】Mean-Field Backward Stochastic Differential Equations. A Limit Approach
【期刊论文】Mean-field forward and backward SDEs with jumps and associated nonlocal quasi-linear integral-PDEs
【期刊论文】FULLY COUPLED FORWARD-BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS WITH GENERAL MARTINGALE