2 papers
math.PR2024
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…
math.PR2024
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…