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math.PR2011
Regularity Properties of Viscosity Solutions of Integro-Partial Differential Equations of Hamilton-Jacobi-Bellman Type
Shuai Jing
We study the regularity properties of integro-partial differential equations of Hamilton-Jocobi-Bellman type with terminal condition, which can be interpreted through a stochastic…
math.PR2011
Nonlinear Fractional Backward Doubly Stochastic Differential Equations with Hurst Parameter in (1/2,1)
Shuai Jing
We first state a special type of Itô formula involving stochastic integrals of both standard and fractional Brownian motions. Then we use Doss-Sussman transformation to establish t…
math.PR2010
Semilinear Backward Doubly Stochastic Differential Equations and SPDEs Driven by Fractional Brownian Motion with Hurst Parameter in (0,1/2)
Shuai Jing, Jorge León
We study the existence of a unique solution to semilinear fractional backward doubly stochastic differential equation driven by a Brownian motion and a fractional Brownian motion w…