23 citations · 127 across the 56 of their papers we have counts for
Showing 2012 · math.OCShow all
2 papers · 2 filters
math.OC2012
Stochastic differential game of functional forward-backward stochastic system and related path-dependent HJBI equation
Shaolin Ji, Qingmeng Wei
This paper is devoted to a stochastic differential game of functional forward-backward stochastic differential equation (FBSDE, for short). The associated upper and lower value fun…
math.OC2012
Path-dependent Hamilton-Jacobi-Bellman equations related to controlled stochastic functional differential systems
Shaolin Ji, Shuzhen Yang
In this paper, a stochastic optimal control problem is investigated in which the system is governed by a stochastic functional differential equation. In the framework of functional…