16 citations · 58 across the 27 of their papers we have counts for
5 papers · 1 filter
Stochastic maximum principle for infinite dimensional control systems
Kai Du, Qingxin Meng
The general maximum principle is proved for an infinite dimensional controlled stochastic evolution system. The control is allowed to take values in a nonconvex set and enter into…
A note on asymptotic exponential arbitrage with exponentially decaying failure probability
Kai Du, Ariel David Neufeld
The goal of this paper is to prove a result conjectured in Föllmer and Schachermayer [FS07], even in slightly more general form. Suppose that S is a continuous semimartingale and s…
Backward stochastic partial differential equations with quadratic growth
Kai Du, Shaokuan Chen
This paper is concerned with the existence and uniqueness of weak solutions to the Cauchy-Dirichlet problem of backward stochastic partial differential equations (BSPDEs) with nonh…
A Maximum Principle for Optimal Control of Stochastic Evolution Equations
Kai Du, Qingxin Meng
A general stochastic maximum principle is proved for optimal controls of semilinear stochastic evolution equations. Stochastic evolution operators, and the control with values in a…
A Maximum Principle for Optimal Control of Stochastic Evolution Equations
Kai Du, Qingxin Meng
A general maximum principle is proved for optimal controls of abstract semilinear stochastic evolution equations. The control variable, as well as linear unbounded operators, acts…