4 papers
Mean-field stochastic differential equations driven by sub-diffusions and their control problem
Shuaiqi Zhang, Zhen-Qing Chen
In this paper, we establish the existence and uniqueness of solutions for mean-field stochastic differential equations (MF-SDEs in short) and backward stochastic differential equat…
Sub-diffusive Black-Scholes model and Girsanov transform for sub-diffusions
Shuaiqi Zhang, Zhen-Qing Chen
We propose a novel Black-Scholes model under which the stock price processes are modeled by stochastic differential equations driven by sub-diffusions. The new framework can captur…
The Optimal Control Problem of Fully Coupled FBSDEs Driven by Sub-diffusion with Applications
Chenhui Hao, Jingtao Shi, Shuaiqi Zhang
This paper is devoted to an optimal control problem of fully coupled forward-backward stochastic differential equations driven by sub-diffusion, whose solutions are not Markov proc…
Fully coupled forward-backward stochastic differential equations driven by sub-diffusions
Shuaiqi Zhang, Zhen-Qing Chen
In this paper, we establish the existence and uniqueness of fully coupled forward-backward stochastic differential equations (FBSDEs in short) driven by anomalous sub-diffusions $B…