Wei Yang

most citedExistence of solutions to path-dependent kinetic equations and related forward - backward systems

1 citations · 1 across the 3 of their papers we have counts for

collaborators

3 papers

q-fin.PR2013

A Galerkin approximation scheme for the mean correction in a mean-reversion stochastic differential equation

Jiang-Lun Wu, Wei Yang

This paper is concerned with the following Markovian stochastic differential equation of mean-reversion type \[ dR_t= (θ+σα(R_t, t))R_t dt +σR_t dB_t \] with an initial value $R_0=…

math.PR2013★ 1 cited

Existence of solutions to path-dependent kinetic equations and related forward - backward systems

Vassili Koloklotsov, Wei Yang

This paper is devoted to path-dependent kinetics equations arising, in particular, from the analysis of the coupled backward - forward systems of equations of mean field games. We…

math.PR2010

A Burgers-KPZ Type Parabolic Equation \par\noindent for the Path-Independence of the Density of the Girsanov Transformation

A. Truman, F. -Y. Wang, J. -L. Wu +1

Let $X_{t}$ solve the multidimensional Itô's stochastic differential equations on $R^{d}$ $d X_{t} = b (t, X_{t}) d t + σ (t, X_{t}) d B_{t}$ where $b : [0, \infty) \times R^{d} \to R^{d}$ is smooth in its two a…