26 citations · 29 across the 6 of their papers we have counts for
6 papers
Optimal Liquidation in Target Zone Models and Neumann Problem of Backward SPDEs with Singular Terminal Condition
Robert Elliott, Jinniao Qiu, Wenning Wei
We study the optimal liquidation problems in target zone models using dynamic programming methods. Such control problems allow for stochastic differential equations with reflection…
Uniqueness of Viscosity Solutions of Stochastic Hamilton-Jacobi Equations
Jinniao Qiu, Wenning Wei
This paper is devoted to the study of fully nonlinear stochastic Hamilton-Jacobi (HJ) equations for the optimal stochastic control problem of ordinary differential equations with r…
On the Quasi-linear Reflected Backward Stochastic Partial Differential Equations
Jinniao Qiu, Wenning Wei
This paper is concerned with the quasi-linear reflected backward stochastic partial differential equation (RBSPDE for short). Basing on the theory of backward stochastic partial di…
On the Cauchy problem for backward stochastic partial differential equations in Hölder spaces
Shanjian Tang, Wenning Wei
This paper is concerned with solution in Hölder spaces of the Cauchy problem for linear and semi-linear backward stochastic partial differential equations (BSPDEs) of super-parabol…
Maximum Principle for Optimal Control of Neutral Stochastic Functional Differential Systems
Wenning Wei
In this paper, the optimal control problem of neutral stochastic functional differential equation (NSFDE) is discussed. A class of so-called neutral backward stochastic functional…
Neutral Backward Stochastic Functional Differential Equations and Their Application
Wenning Wei
In this paper we are concerned with a new type of backward equations with anticipation which we call neutral backward stochastic functional differential equations. We obtain the ex…