3 citations · 3 across the 3 of their papers we have counts for
3 papers
math.PR2015
One Kind of Multiple Dimensional Markovian BSDEs with Stochastic Linear Growth Generators
Rui Mu, Zhen Wu
In this article, we deal with a multiple dimensional coupled Markovian BSDEs system with stochastic linear growth generators with respect to volatility processes. An existence resu…
math.OC2014★ 3 cited
Mean Field Linear-Quadratic-Gaussian (LQG) Games: Major and Minor Players
Jianhui Huang, Shujun Wang, Zhen Wu
This paper is concerned with a backward-forward stochastic differential equation (BFSDE) system, in which a large number of negligible agents are coupled in their dynamics via stat…
math.PR2010
Backward Stochastic Differential Equations with Markov Chains and The Application: Homogenization of PDEs System
Huaibin Tang, Zhen Wu
Stemmed from the derivation of the optimal control to a stochastic linear-quadratic control problem with Markov jumps, we study one kind of backward stochastic differential equatio…