平均场随机控制及微分对策

11871037
2018
A0210.随机分析与随机过程
李娟
面上项目
教授
山东大学
54万元
平均场;随机最优控制;倒向随机微分方程;正倒向随机微分方程;随机微分对策
2019-01-01到2022-12-31
  • 中英文摘要
  • 结题摘要
  • 结题报告
  • 项目成果
  • 项目参与人
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序号 标题 类型 作者
1 SIR epidemics with state-dependent costs and ICU constraints: a Hamilton-Jacobi verification argument and dual LP algorithms 期刊论文 Lorenzo Freddi;Dan Goreac;Juan Li;Boxiang Xu
2 Probabilistic interpretation of a system of coupled Hamilton-Jacobi-Bellman-Isaacs equations 期刊论文 Juan Li;Wenqiang Li;Qingmeng Wei
3 On the near-viability property of controlled mean-field flows 期刊论文 Rainer Buckdahn;Dan Goreac;Juan Li
4 Comparison theorems for multi-dimensional general mean-field BDSDEs 期刊论文 Juan Li;Chuanzhi Xing;Ying Peng
5 Solvability of a class of mean-field BSDEs with quadratic growth 期刊论文 Tao Hao;Jiaqiang Wen;Jie Xiong
6 Partial derivative with respect to the measure and its application to general controlled mean-field systems 期刊论文 Rainer Buckdahn;Yajie Chen;Juan Li
7 General fully coupled FBSDES involving the value function and related nonlocal HJB equations combined with algebraic equations 期刊论文 Tao Hao;Qingfeng Zhu
8 Representation formulas for limit values of long run stochastic optimal controls 期刊论文 Rainer Buckdahn;Juan Li;Marc Quincampoix;Jérôme Renault
9 General mean-field BDSDEs with continuous coefficients 期刊论文 Juan Li;Chuanzhi Xing
10 A game theoretical approach to homothetic robust forward investment performance processes in stochastic factor models 期刊论文 Juan Li;Wenqiang Li;Gechun Liang
11 Linearisation techniques and the dual algorithm for a class of mixed singular/continuous control problems in reinsurance. Part I: theoretical aspects 期刊论文 Dan Goreac;Juan Li;Boxiang Xu
12 A general conditional McKean-Vlasov stochastic differential equation 期刊论文 Rainer Buckdahn;Juan Li;Jin Ma
13 Representation of limit values for nonexpansive stochastic differential games 期刊论文 Rainer Buckdahn;Juan Li;Nana Zhao
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