48 citations · 136 across the 34 of their papers we have counts for
35 papers
Large Deviation Principle for Backward Stochastic Differential Equations with a stochastic Lipschitz condition on
Yufeng Shi, Jiaqiang Wen, Zhi Yang
In this paper, a probabilistic interpretation for the viscosity solution of a parabolic partial differential equation is obtained by virtue of the solution of a class of quadratic…
On the uniqueness result for the BSDE with continuous coefficient
Yufeng Shi, Zhi Yang
In this paper, we study one-dimensional backward stochastic differential equation (BSDE, for short), whose coefficient is Lipschitz in but only continuous in . In additi…
Forward-backward doubly stochastic systems and classical solutions of path-dependent stochastic PDEs
Yufeng Shi, Jiaqiang Wen, Jie Xiong
In this paper, a class of non-Markovian forward-backward doubly stochastic systems is studied. By using the technique of functional Itô (or path-dependent) calculus, the relationsh…
Symmetrical martingale solutions of backward doubly stochastic Volterra integral equations
Jiaqiang Wen, Yufeng Shi
This paper aims to study a new class of integral equations called backward doubly stochastic Volterra integral equations (BDSVIEs, for short). The notion of symmetrical martingale…
Backward doubly stochastic Volterra integral equations and applications to optimal control problems
Yufeng Shi, Jiaqiang Wen, Jie Xiong
Backward doubly stochastic Volterra integral equations (BDSVIEs, for short) are introduced and studied systematically. Well-posedness of BDSVIEs in the sense of introduced M-soluti…
Backward doubly stochastic differential equations with random coefficients and quasilinear stochastic PDEs
Jiaqiang Wen, Yufeng Shi
In this paper, by virtue of Malliavin calculus, we establish a relationship between backward doubly stochastic differential equations with random coefficients and quasilinear stoch…