6 citations · 14 across the 5 of their papers we have counts for
5 papers
Probabilistic Interpretation for Systems of Isaacs Equations with Two Reflecting Barriers
Rainer Buckdahn, Juan Li
In this paper we investigate zero-sum two-player stochastic differential games whose cost functionals are given by doubly controlled reflected backward stochastic differential equa…
Mean-Field Backward Stochastic Differential Equations and Related Partial Differential Equations
Rainer Buckdahn, Juan Li, Shige Peng
In [5] the authors obtained Mean-Field backward stochastic differential equations (BSDE) associated with a Mean-field stochastic differential equation (SDE) in a natural way as lim…
Another proof for the equivalence between invariance of closed sets with respect to stochastic and deterministic systems
Rainer Buckdahn, Marc Quincampoix, Catherine Rainer +1
We provide a short and elementary proof for the recently proved result by G. da Prato and H. Frankowska that -- under minimal assumptions -- a closed set is invariant with respect…
Stochastic Differential Games with Reflection and Related Obstacle Problems for Isaacs Equations
Rainer Buckdahn, Juan Li
In this paper we first investigate zero-sum two-player stochastic differential games with reflection with the help of theory of Reflected Backward Stochastic Differential Equations…
Stochastic control problems for systems driven by normal martingales
Rainer Buckdahn, Jin Ma, Catherine Rainer
In this paper we study a class of stochastic control problems in which the control of the jump size is essential. Such a model is a generalized version for various applied problems…