5 papers
A Geometric Inverse Source Problem for Stochastic Parabolic Equations
Yunzhang Li, Qi Lü, Meizhi Qian +1
This paper addresses the geometric inverse problem of simultaneously recovering two unknown deterministic source supports in a stochastic parabolic equation, where one source appea…
Local discontinuous Galerkin method for nonlinear BSPDEs of Neumann boundary conditions with deep backward dynamic programming time-marching
Yixiang Dai, Yunzhang Li, Jing Zhang
This paper aims to present a local discontinuous Galerkin (LDG) method for solving backward stochastic partial differential equations (BSPDEs) with Neumann boundary conditions. We…
Fractional Backward Stochastic Partial Differential Equations with Applications to Stochastic Optimal Control of Partially Observed Systems driven by Lévy Processes
Yuyang Ye, Yunzhang Li, Shanjian Tang
In this paper, we study the Cauchy problem for backward stochastic partial differential equations (BSPDEs) involving fractional Laplacian operator. Firstly, by employing the martin…
Particle approximation for a conditional McKean--Vlasov stochastic differential equation
Kai Du, Yunzhang Li, Yuyang Ye
In this paper, we construct a type of interacting particle systems to approximate a class of stochastic different equations whose coefficients depend on the conditional probability…
Discrete-time Approximation of Stochastic Optimal Control with Partial Observation
Yunzhang Li, Xiaolu Tan, Shanjian Tang
We consider a class of stochastic optimal control problems with partial observation, and study their approximation by discrete-time control problems. We establish a convergence res…