2 papers
math.OC2020
Optimal controls of stochastic differential equations with jumps and random coefficients: Stochastic Hamilton-Jacobi-Bellman equations with jumps
Qingxin Meng, Yuchao Dong, Yang Shen +1
In this paper, we study the following nonlinear backward stochastic integral partial differential equation with jumps \begin{equation*} \left\{ \begin{split} -d V(t,x) =&\displayst…
math.OC2016
On the existence of optimal controls for backward stochastic partial differential equations
Qingxin Meng, Yang Shen, Peng Shi
This paper is concerned with the existence of optimal controls for backward stochastic partial differential equations with random coefficients, in which the control systems are rep…