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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.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…