Jingwei Chen

collaborators

3 papers

math.OC2026

Stochastic maximum principle for time-changed forward-backward stochastic control problem with LÃ©vy noise

Jingwei Chen, Jun Ye, Feng Chen

This paper establishes a stochastic maximum principle for optimal control problems governed by time-changed forward-backward stochastic differential equations with LÃ©vy noise. The…

math.PR2025

Strong convergence and Mittag-Leffler stability of stochastic theta method for time-changed stochastic differential equations

Jingwei Chen, Jun Ye, Jinwen Chen +1

We propose the first $I^\pm$ -parameterized framework for solving time-changed stochastic differential equations (TCSDEs), explicitly linking convergence rates to the driving parameter…

math.PR2025

$I^\pm$ -scaled strong convergence of stochastic theta method for stochastic differential equations driven by time-changed LÃ©vy noise beyond Lipschitz continuity

Jingwei Chen

This paper develops an $I^\pm$ -parametrized framework for analyzing the strong convergence of the stochastic theta (ST) method for stochastic differential equations driven by time-cha…

Stochastic maximum principle for time-changed forward-backward stochastic control problem with LÃ©vy noise

Strong convergence and Mittag-Leffler stability of stochastic theta method for time-changed stochastic differential equations

I^±-scaled strong convergence of stochastic theta method for stochastic differential equations driven by time-changed LÃ©vy noise beyond Lipschitz continuity

$I^\pm$ -scaled strong convergence of stochastic theta method for stochastic differential equations driven by time-changed LÃ©vy noise beyond Lipschitz continuity