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math.PR2024
Problem of eigenvalues of stochastic Hamiltonian systems with boundary conditions and Markov chain
Tian Chen, Xijun Hu, Zhen Wu
In this paper, we study the eigenvalue problem of stochastic Hamiltonian system driven by Brownian motion and Markov chain with boundary conditions and time-dependent coefficients.…
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.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…