6 papers
A quadratic BSDE approach to normalization for the finite volume 2D sine-Gordon model in the finite ultraviolet regime
Shanjian Tang, Rundong Xu
This paper is devoted to a new construction of the two-dimensional sine-Gordon model on bounded domains by a novel normalization technique in the finite ultraviolet regime. Our met…
A BSDE approach to the asymmetric risk-sensitive optimization and its applications
Mingshang Hu, Shaolin Ji, Rundong Xu +1
This paper is devoted to proposing a new asymmetric risk-sensitive criterion involving different risk attitudes toward varying risk sources. The criterion can only be defined throu…
Global Convergence of Successive Approximations for Non-convex Stochastic Optimal Control Problems
Shaolin Ji, Rundong Xu
This paper focuses on finding approximate solutions to stochastic optimal control problems with control domains being not necessarily convex, where the state trajectory is subject…
A Modified Method of Successive Approximations for Stochastic Recursive Optimal Control Problems
Shaolin Ji, Rundong Xu
Based on the stochastic maximum principle for the partially coupled forward-backward stochastic control system (FBSCS for short), a modified method of successive approximations (MS…
A Stochastic Maximum Principle for Forward-backward Stochastic Control Systems with Quadratic Generators and Sample-wise Constraints
Shaolin Ji, Rundong Xu
This paper examines the stochastic maximum principle (SMP) for a forward-backward stochastic control system where the backward state equation is characterized by the backward stoch…
A Global Stochastic Maximum Principle for Forward-Backward Stochastic Control Systems with Quadratic Generators
Mingshang Hu, Shaolin Ji, Rundong Xu
We study a stochastic optimal control problem for forward-backward control systems with quadratic generators. In order to establish the first and second-order variational and adjoi…