2 papers
math.PR2025
Infinite Anticipation Backward Stochastic Differential Equations
Guanwei Cheng, Shuzhen Yang
In this paper, we introduce a new type of backward stochastic differential equations (BSDEs) with infinite anticipation, where the generator depends on the entire future values of…
math.OC2024
Stochastic maximum principle for optimal control problem with varying terminal time and non-convex control domain
Jin Shi, Shuzhen Yang
In this paper, we consider a varying terminal time structure for the stochastic optimal control problem under state constraints, in which the terminal time varies with the mean val…