3 papers
math.OC2022
Stochastic differential variational inequalities with applications
Yao-Jia Zhang, Tao Chen, Nan-jing Huang +1
In this paper, we introduce and study a stochastic differential variational inequality (SDVI) which consists of a stochastic differential equation and a stochastic variational ineq…
math.PR2021
Set-valued Ito's formula with an application to the general set-valued backward stochastic differential equation
Yao-jia Zhang, Zhun Gou, Nan-jing Huang
The overarching goal of this paper is to establish a set-valued Itô's formula. As an application, we obtain the existence and uniqueness of solutions for the general set-valued bac…
math.OC2020
A stochastic optimal control problem governed by SPDEs via a spatial-temporal interaction operator
Zhun Gou, Nan-jing Huang, Ming-hui Wang +1
In this paper, we first introduce a new spatial-temporal interaction operator to describe the space-time dependent phenomena. Then we consider the stochastic optimal control of a n…