57 citations · 184 across the 31 of their papers we have counts for
7 papers · 1 filter
Swarming models with specular boundary condition and environmental noise
Razvan C. Fetecau, Hui Huang, Jinniao Qiu
We investigate a general class of models for swarming/self-collective behaviour in domains with boundaries. The model is expressed as a stochastic system of interacting particles s…
Stochastic Path-Dependent Hamilton-Jacobi-Bellman Equations and Controlled Stochastic Differential Equations with Random Path-Dependent Coefficients
Jinniao Qiu
In this paper, we propose and study the stochastic path-dependent Hamilton-Jacobi-Bellman (SPHJB) equation that arises naturally from the optimal stochastic control problem of stoc…
Stochastic Differential Games with Random Coefficients and Stochastic Hamilton-Jacobi-Bellman-Isaacs Equations
Jinniao Qiu, Jing Zhang
In this paper, we study a class of zero-sum two-player stochastic differential games with the controlled stochastic differential equations and the payoff/cost functionals of recurs…
Controlled Reflected SDEs and Neumann Problem for Backward SPDEs
Erhan Bayraktar, Jinniao Qiu
We solve the optimal control problem of a one-dimensional reflected stochastic differential equation, whose coefficients can be path dependent. The value function of this problem i…
2D Backward Stochastic Navier-Stokes Equations with Nonlinear Forcing
Jinniao Qiu, Shanjian Tang, Yuncheng You
The paper is concerned with the existence and uniqueness of a strong solution to a two-dimensional backward stochastic Navier-Stokes equation with nonlinear forcing, driven by a Br…
Maximum Principle for Quasi-linear Backward Stochastic Partial Differential Equations
Jinniao Qiu, Shanjian Tang
In this paper we are concerned with the maximum principle for quasi-linear backward stochastic partial differential equations (BSPDEs for short) of parabolic type. We first prove t…