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20192023
most citedDiscrete-time approximation for backward stochastic differential equations driven by -Brownian motion

1 citations · 2 across the 8 of their papers we have counts for

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math.NA2020

An Efficient Numerical Method for Forward-Backward Stochastic Differential Equations Driven by -Brownian motion

Mingshang Hu, Lianzi Jiang

In this paper, we study the numerical method for solving forward-backward stochastic differential equations driven by -Brownian motion (-FBSDEs) which correspond to fully non…

math.NA2020

An Effective Discrete Recursive Method for Stochastic Optimal Control Problems

Mingshang Hu, Lianzi Jiang

In this paper, we study the numerical method for stochastic optimal control problems (SOCPs). By reducing the optimal control problem to the discrete case, we derive a discrete sto…