45 citations · 207 across the 43 of their papers we have counts for
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An Efficient Numerical Method for Forward-Backward Stochastic Differential Equations Driven by -Brownian motion
Mingshang Hu, Lianzi Jiang
In this paper, we study the numerical method for solving forward-backward stochastic differential equations driven by -Brownian motion (-FBSDEs) which correspond to fully non…
An Effective Discrete Recursive Method for Stochastic Optimal Control Problems
Mingshang Hu, Lianzi Jiang
In this paper, we study the numerical method for stochastic optimal control problems (SOCPs). By reducing the optimal control problem to the discrete case, we derive a discrete sto…
Discrete-time approximation for backward stochastic differential equations driven by -Brownian motion
Lianzi Jiang, Mingshang Hu
In this paper, we study the discrete-time approximation schemes for a class of backward stochastic differential equations driven by -Brownian motion (-BSDEs) which correspond…
Explicit -Schemes for Solving Anticipated Backward Stochastic Differential Equations
Mingshang Hu, Lianzi Jiang
In this paper, a class of stable explicit -schemes are proposed for solving anticipated backward stochastic differential equations (anticipated BSDEs) which generator not only c…