2 papers
math.PR2022
BSDEs generated by fractional space-time noise and related SPDEs
Yaozhong Hu, Juan Li, Chao Mi
This paper is concerned with the backward stochastic differential equations whose generator is a weighted fractional Brownian field: $Y_t=ξ+\int_t^T Y_s W (ds,B_s) -\int_t^T Z_sdB_…
math.OC2021
A stochastic maximum principle for partially observed general mean-field control problems with only weak solution
Juan Li, Hao Liang, Chao Mi
In this paper we focus on a general type of mean-field stochastic control problem with partial observation, in which the coefficients depend in a non-linear way not only on the sta…