Hida-Malliavin分析方法在带跳正倒向随机系统及相关领域的应用

11871010
2018
A0210.随机分析与随机过程
周清
面上项目
教授
北京邮电大学
53万元
随机控制;Lévy过程;正倒向随机微分方程;金融数学;Malliavin计算
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 A BSDE approach to stochastic linear quadratic control problem 期刊论文 Zhang Wei;Zhang Liangquan
2 日内交易量预测的局部波动模型及其实证研究 期刊论文 季怡轩;徐紫怡;程雪
3 Well-posedness of stochastic 2D hydrodynamics type systems with multiplicative Lévy noises 期刊论文 Peng Xuhui;Yang Juan;Zhai Jianliang
4 Performance of deep reinforcement learning for high frequency market making on actual tick data 会议论文 Xu Ziyi;Cheng Xue;He Yangbo
5 Topics Related to Backward Stochastic Differential Equations Driven by Lévy Processes 专著 周清
6 Pricing vulnerable American put options under jump-diffusion processes when corporate liabilities are random 期刊论文 Wang Shengan;Zhou Qing;Xiao Weilin
7 期权定价的波动率模型比较与探索 期刊论文 王胜安;周清
8 Moderate deviation principle for stochastic reaction-diffusion systems with multiplicative noise and non-Lipschitz reaction 期刊论文 Yang Juan
9 Pricing of defaultable securities associated with recovery rate under the stochastic interest rate driven by fractional Brownian motion 期刊论文 Zhou Qing;Wang Qian;Wu Weixing
10 山东省科学技术奖 奖励 石玉峰;朱庆峰;王天啸;张良泉
11 基于鲁棒优化的保险资金投资组合模型 期刊论文 张梦媛
12 次分数Black-Scholes模型的套利机会 期刊论文 肖炜麟;周清;吴卫星
13 浮动利率下基于不确定分数阶微分方程的期权定价研究 期刊论文 雷子琦;周清
14 Pricing vulnerable options with correlated credit risk under jump-diffusion processes when corporate liabilities are random 期刊论文 Zhou Qing;Yang Jiaojiao;Wu Weixing
15 Global solutions of stochastic Stackelberg differential games under convex control constraint 期刊论文 Zhang Liangquan;Zhang Wei
16 Vulnerable options pricing under uncertain volatility model 期刊论文 Zhou Qing;Li Xiaonan
17 Vulnerable European call option pricing based on uncertain fractional differential equation 期刊论文 Lei Ziqi;Zhou Qing;Wu Weixing;Wang Zengwu
18 Stability analysis of the Kalman predictor 期刊论文 Zhang Qinghua;Zhang Liangquan
19 带跳模型下提前违约的贷款保险定价研究 期刊论文 雷子琦;周清
20 Infinite Horizon Forward-Backward Doubly Stochastic Differential Equations and Related SPDEs 期刊论文 Zhu Qingfeng;Zhang Liangquan;Shi Yufeng
21 Pricing equity warrants in Merton jump-diffusion model with credit risk 期刊论文 Zhou Qing;Zhang Xili
22 A BSDE approach to stochastic differential games involving impulse controls and HJBI equation 期刊论文 Zhang Liangquan
23 Necessary condition for optimal control of doubly stochastic systems 期刊论文 Zhang Liangquan;Zhou Qing;Yang Juan
24 Singular optimal controls for stochastic recursive systems under convex control constraint 期刊论文 Zhang Liangquan
25 Reflected SPDEs driven by fractional noises 期刊论文 Yang Juan;Zhou Qing
26 Infinite horizon Stackelberg differential games with random coefficients under control input constraint 期刊论文 Zhang Liangquan;Zhang Wei
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