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12 papers · 2 filters
Expected Exit Time for Time-Periodic Stochastic Differential Equations and Applications to Stochastic Resonance
Chunrong Feng, Huaizhong Zhao, Johnny Zhong
In this paper, we derive a parabolic partial differential equation for the expected exit time of non-autonomous time-periodic non-degenerate stochastic differential equations. This…
Symmetrical martingale solutions of backward doubly stochastic Volterra integral equations
Jiaqiang Wen, Yufeng Shi
This paper aims to study a new class of integral equations called backward doubly stochastic Volterra integral equations (BDSVIEs, for short). The notion of symmetrical martingale…
Maximum principle for stochastic recursive optimal control problem under model uncertainty
Mingshang Hu, Falei Wang
In this paper, we consider a stochastic recursive optimal control problem under model uncertainty. In this framework, the cost function is described by solutions of a family of bac…
The Neyman-Pearson lemma for convex expectations
Chuanfeng Sun, Shaolin Ji
We study the Neyman-Pearson problem for convex expectations on L^{\infty}(μ). The existence of the optimal test is given. Without assuming that the level sets of penalty functions…
A filtering problem with uncertainty in observation
Shaolin Ji, Chuiliu Kong, Chuanfeng Sun
This paper is concerned with a generalized Kalman-Bucy filtering model and corresponding robust problem under model uncertainty. We find that this robust problem is equivalent to c…
Explicit positive solutions to -heat equations and the application to -capacities
Mingshang Hu, Yifan Sun
In this paper, we study a class of explicit positive solutions to -heat equations by solving second order nonlinear ordinary differential equations. Based on the positive soluti…