3 citations · 6 across the 10 of their papers we have counts for
15 papers
Indefinite Stochastic Linear-Quadratic Optimal Control Problems with Random Coefficients and Poisson Jumps: Closed-Loop Representation of Open-Loop Optimal Controls
Kai Ding, Jiaqiang Wen, Jie Xiong +1
This paper is concerned with stochastic linear-quadratic (SLQ) optimal control problems with random coefficients and Poisson jumps. The weighting matrices are allowed to be random…
Backward doubly stochastic differential equations with or without reflection under weak conditions
Shuxian Gao, Ying Hu, Jiaqiang Wen
In this paper, we study the solvability of backward doubly stochastic differential equations (BDSDEs, for short), both with and without reflection, under weak conditions on the gen…
A Global Maximum Principle for Controlled Conditional Mean-field FBSDEs with Regime Switching
Tao Hao, Jiaqiang Wen, Jie Xiong
This paper is devoted to a global stochastic maximum principle for conditional mean-field forward-backward stochastic differential equations (FBSDEs, for short) with regime switchi…
Fractional backward stochastic differential equations with delayed generator
Jiaqiang Wen
In this paper, we focus on the solvability of a class of fractional backward stochastic differential equations (BSDEs, for short) with delayed generator. In this class of equations…
Large Deviation Principle for Backward Stochastic Differential Equations with a stochastic Lipschitz condition on
Yufeng Shi, Jiaqiang Wen, Zhi Yang
In this paper, a probabilistic interpretation for the viscosity solution of a parabolic partial differential equation is obtained by virtue of the solution of a class of quadratic…
Backward doubly stochastic differential equations and SPDEs with quadratic growth
Ying Hu, Jiaqiang Wen, Jie Xiong
In this paper, we initiate the study of backward doubly stochastic differential equations (BDSDEs, for short) with quadratic growth. The existence, comparison, and stability result…