Stochastic optimization theory of backward stochastic differential equations with jumps and viscosity solutions of Hamilton–Jacobi–Bellman equations
By Juan Li, Shige Peng. 2009
65 citations recorded by the source corpus.
Subfields: Demography, Finance, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/711316452ed1e8c30c395a43b668c8ef31eccc7e
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In Demography
In Finance
In Management Science and Operations Research
Citations in the corpus
- Mean-field forward and backward SDEs with jumps and associated nonlocal quasi-linear integral-PDEs (2017, background): “On the other hand, from Proposition 4.1, I3,2(x, y, Pξ ;x ′, y′, Pξ′) ≤ CpMp ( E [(∫ T t (|Πt,x,Pξr −Π t,x′,Pξ′ r |2 +W2(PΠt,ξr , PΠt,ξ′r ) 2 + |Πt,y,Pξr −Π t,y′,Pξ′ r |2)dr )p]) 1 2 + CpE [(∫ T t |∂xΠt,y,Pξr |2I {|∂xΠ t,y,Pξ r |2≥M} dr )p] ≤ CpMp ( |x− x′|p +W2(Pξ , Pξ′)p + |y − y′|p ) + ρM,p(t, y,”