Stochastic Differential Equations with Nonlocal Sample Dependence
By Peter E. Kloeden, Thomas Lorenz. 2010
52 citations recorded by the source corpus.
Subfields: Computational Theory and Mathematics, Control and Systems Engineering, Finance
View Paper: https://www.semanticscholar.org/paper/e96905d6c10d8e74883fa99e9fba2ae050a48946
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In Computational Theory and Mathematics
In Control and Systems Engineering
In Finance
Citations in the corpus
- A Linear-Quadratic Optimal Control Problem for Mean-Field Stochastic Differential Equations (2011, background): “In recent years, related topics and problems have attracted more and more researchers’ attentions, see, for examples, Veretennikov [32], Huang–Malhamé– Caines [17], Mahmudov–McKibben [23], Buckdahn-Djehiche-Li-Peng [8], Buckdahn-Li-Peng [9], Borkar– Kumar [6], Crisan–Xiong [12], Kotelenez–Kurtz [20”
- Linear-Quadratic Optimal Control Problems for Mean-Field Stochastic Differential Equations --- Time-Consistent Solutions (2013, background): “A main motivation of that is a kind of conditional/dynamic mean-variance problem (see [1, 4]) See also [5, 16, 7] for relevant results.”
- Mean-field forward and backward SDEs with jumps and associated nonlocal quasi-linear integral-PDEs (2017, background): “, Kloeden and Lorenz [16], Kotelenez and Kurtz [17], Yong [29] and references therein.”