34 citations · 51 across the 2 of their papers we have counts for
2 papers
math.PR2014★ 17 cited
Generalized Hamilton-Jacobi-Bellman equations with Dirichlet boundary and stochastic exit time optimal control problem
Rainer Buckdahn, Tianyang Nie
We consider a kind of stochastic exit time optimal control problems, in which the cost function is defined through a nonlinear backward stochastic differential equation. We study t…
math.PR2011★ 34 cited
Fractional backward stochastic differential euqations and fractional backward variational inequalities
Lucian Maticiuc, Tianyang Nie
In the framework of fractional stochastic calculus, we study the existence and the uniqueness of the solution for a backward stochastic differential equation, formally written as:…