7 citations · 7 across the 2 of their papers we have counts for
2 papers
math.PR2008
Reflected Backward Stochastic Differential Equations with Continuous Coefficient and L^2 Barriers
Shaolin Ji, Zhen Wu, Li Zhou
In this paper we study reflected backward stochastic differential equations with a continuous, linear growth coefficient and two barriers which belong to L^2. We prove that there e…
math.OC2007★ 7 cited
Dynamic programming principle for one kind of stochastic recursive optimal control problem and Hamilton-Jacobi-Bellman equations
Zhen Wu, Zhiyong Yu
In this paper, we study one kind of stochastic recursive optimal control problem with the obstacle constraints for the cost function where the cost function is described by the sol…