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math.PR2024
Mean-reflected -BSDEs with multi-variate constraints
Yiqing Lin, Falei Wang, Hui Zhao
In this paper, we study the multi-dimensional reflected backward stochastic differential equation driven by -Brownian motion (-BSDE) with a multi-variate constraint on the $G…
math.PR2019
Maximum principle for stochastic recursive optimal control problem under model uncertainty
Mingshang Hu, Falei Wang
In this paper, we consider a stochastic recursive optimal control problem under model uncertainty. In this framework, the cost function is described by solutions of a family of bac…
math.PR2018
BSDEs driven by -Brownian motion with uniformly continuous generators
Falei Wang, Guoqiang Zheng
The present paper is devoted to investigating the existence and uniqueness of solutions to a class of non-Lipschitz scalar valued backward stochastic differential equations driven…