11 papers
Maximum principle for optimal control of infinite horizon stochastic difference equations driven by fractional noises
Yuecai Han, Yuhang Li
In this paper, infinite horizon stochastic difference equations and backward stochastic difference equations with fractional noises are studied. The main difficulty comes from frac…
Linear Filtering for Discrete Time Systems Driven by Fractional Noises
Yuecai Han, Yuhang Li
In this paper, we study the discrete time filtering problems for linear systems driven by fractional noises. The main difficulty comes from the non-Markovian of the noises. We cons…
Maximum principle for discrete-time control systems driven by fractional noises and related backward stochastic difference equations
Yuecai Han, Yuhang Li
In this paper, the optimal control for discrete-time systems driven by fractional noises is studied. A stochastic maximum principle is obtained by introducing a backward stochastic…
Optimal Filtering for Interacting Particle Systems
Andrey Dorogovtsev, Yuecai Han, Kateryna Hlyniana +1
In this paper, we study the optimal filtering problem for a interacting particle system generated by stochastic differential equations with interaction. By using Malliavin calculus…
Statistical inference for multi-regime threshold Ornstein-Uhlenbeck processes
Yuecai Han, Dingwen Zhang
In this paper, we investigate the parameter estimation for threshold OrnsteinUhlenbeck processes. Least squares method is used to obtain continuous-type and discrete-ty…
Stochastic Maximum Principle for Control System with Time-varying delay
Yuhang Li, Yuecai Han
In this paper, we study the stochastic optimal control problem for control system with time-varying delay. The corresponding stochastic differential equation is a kind of stochasti…
Maximum principle for optimal control of interacting particle system: stochastic flow model
Andrey A. Dorogovtsev, Yuecai Han, Kateryna Hlyniana +1
In this paper, we consider the stochastic optimal control problem for the interacting particle system. We obtain the stochastic maximum principle of the optimal control system by i…
Stochastic Maximum Principle for a generalized Volterra Control System
Yuhang Li, Yuecai Han
In this paper, we consider the stochastic optimal control problem for a generalized Volterra control system. The corresponding state process is a kind of a generalized stochastic V…
Maximum Principle for Control System driven by Mixed Fractional Brownian Motion
Yuhang Li, Yuecai Han
In this paper, we investigate the optimal control problem for systems driven by mixed fractional Brownian motion (including a fractional Brownian motion with Hurst parameter $H>1/2…
Nonparametric Estimation for Stochastic Differential Equations Driven by Fractional Brownian Motion
Han Yuecai, Zhang Dingwen
We study the nonparametric Nadaraya-Watson estimator of the drift function for ergodic stochastic processes driven by fractional Brownian motion of Hurst parameter H > 1/2. The est…
Nonlinear Least Squares Estimator for Discretely Observed Reflected Stochastic Processes
Han Yuecai, Zhang Dingwen
We study the problem of parameter estimation for reflected stochastic processes driven by a standard Brownian motion. The estimator is obtained using nonlinear least squares method…