Meng Wang

activity

20232026

collaborators

Showing 2023Show all

4 papers · 1 filter

math.PR2023

On a class of stochastic fractional heat equations

Jian Song, Meng Wang, Wangjun Yuan

For the fractional heat equation $\frac{\partial}{\partial t} u (t, x) = - (- Δ)^{\frac{α}{2}} u (t, x) + u (t, x) W ˙ (t, x)$ where the covariance function of the Gaussian noise $W ˙$ is d…

math.OC2023

Relative entropy-regularized robust optimal order execution

Meng Wang, Tai-Ho Wang

The problem of order execution is cast as a relative entropy-regularized robust optimal control problem in this article. The order execution agent's goal is to maximize an objectiv…

math.PR2023

Stochastic partial differential equations associated with Feller processes

Jian Song, Meng Wang, Wangjun Yuan

For the stochastic partial differential equation $\frac{\partial u}{\partial t} = L u + u W ˙$ where $W ˙$ is Gaussian noise colored in time and $L$ is the infi…

math.OC2023

Maximum principle for recursive optimal control problem of stochastic delay evolution equations

Guomin Liu, Jian Song, Meng Wang

For a class of stochastic delay evolution equations driven by cylindrical $Q$ -Wiener process, we study the Pontryagin's maximum principle for the stochastic recursive optimal contr…