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math.PR2014
On existence and uniqueness of solutions to uncertain backward stochastic differential equations
Weiyin Fei
This paper is concerned with a class of uncertain backward stochastic differential equations (UBSDEs) driven by both an -dimensional Brownian motion and a -dimensional canoni…
math.OC2014★ 20 cited
Optimal control of uncertain stochastic systems with Markovian switching and its applications to portfolio decisions
Weiyin Fei
This paper first describes a class of uncertain stochastic control systems with Markovian switching, and derives an Itô-Liu formula for Markov-modulated processes. And we character…