22 citations · 46 across the 22 of their papers we have counts for
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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…
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…
Mean-field backward stochastic differential equations and nonlocal PDEs with quadratic growth
Tao Hao, Ying Hu, Shanjian Tang +1
In this paper, we study general mean-field backward stochastic differential equations (BSDEs, for short) with quadratic growth. First, the existence and uniqueness of local and glo…
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…
Solvability of a class of mean-field BSDEs with quadratic growth
Tao Hao, Jiaqiang Wen, Jie Xiong
In this paper, we study the multi-dimensional mean-field backward stochastic differential equations (BSDEs, for short) with quadratic growth. Under small terminal value, the existe…
Forward-backward doubly stochastic systems and classical solutions of path-dependent stochastic PDEs
Yufeng Shi, Jiaqiang Wen, Jie Xiong
In this paper, a class of non-Markovian forward-backward doubly stochastic systems is studied. By using the technique of functional Itô (or path-dependent) calculus, the relationsh…
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…
Anticipated backward stochastic differential equations with quadratic growth
Ying Hu, Xun Li, Jiaqiang Wen
In this paper, we study the solvability of anticipated backward stochastic differential equations (BSDEs, for short) with quadratic growth for one-dimensional case and multi-dimens…
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…
Backward doubly stochastic Volterra integral equations and applications to optimal control problems
Yufeng Shi, Jiaqiang Wen, Jie Xiong
Backward doubly stochastic Volterra integral equations (BDSVIEs, for short) are introduced and studied systematically. Well-posedness of BDSVIEs in the sense of introduced M-soluti…
Weak Closed-Loop Solvability of Stochastic Linear Quadratic Optimal Control Problems of Markovian Regime Switching System
Jiaqiang Wen, Xun Li, Jie Xiong
In this paper, we investigate the open-loop and weak closed-loop solvabilities of stochastic linear quadratic (LQ, for short) optimal control problem of Markovian regime switching…
Backward doubly stochastic differential equations with random coefficients and quasilinear stochastic PDEs
Jiaqiang Wen, Yufeng Shi
In this paper, by virtue of Malliavin calculus, we establish a relationship between backward doubly stochastic differential equations with random coefficients and quasilinear stoch…
Mean-field anticipated BSDEs driven by fractional Brownian motion and related stochastic control problem
Soukaina Douissi, Jiaqiang Wen, Yufeng Shi
In this paper, we focus on mean-field anticipated backward stochastic differential equations (MF-BSDEs, for short) driven by fractional Brownian motion with Hurst parameter H>1/2.…
Maximum principle for a stochastic delayed system involving terminal state constraints
Jiaqiang Wen, Yufeng Shi
We investigate a stochastic optimal control problem where the controlled system is depicted as a stochastic differential delayed equation; however, at the terminal time, the state…
Mean-field backward stochastic differential equations driven by fractional Brownian motion
Jiaqiang Wen, Yufeng Shi
In this paper, we focus on the mean-field backward stochastic differential equations (BSDEs) driven by a fractional Brownian motion with Hurst parameter H greater then 1/2. First,…
Functional Itô formula for fractional Brownian motion
Jiaqiang Wen, Yufeng Shi
We develop the functional Itô/path-dependent calculus with respect to fractional Brownian motion with Hurst parameter . Firstly, two types of integrals are studied.…
Anticipative backward stochastic differential equations driven by fractional Brownian motion
Jiaqiang Wen, Yufeng Shi
We study the anticipative backward stochastic differential equations (BSDEs, for short) driven by fractional Brownian motion with Hurst parameter H greater than 1/2. The stochastic…
Anticipating backward stochastic Volterra integral equations
Jiaqiang Wen, Yufeng Shi
We introduce and study a new type of integral equations called anticipating backward stochastic Volterra integral equations (anticipating BSVIEs). In these equations the generator…