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math.PR2019★ 1 cited
Solvability of finite state forward-backward stochastic difference equations
Shaolin Ji, Haodong Liu
In this paper, we consider the solvability problems for the fully coupled forward-backward stochastic difference equations (FBSΔEs) on spaces related to discrete time, finite state…
math.OC2019
Maximum principle for stochastic optimal control problem of finite state forward-backward stochastic difference systems
Shailin Ji, Haodong Liu
In this paper, we study the maximum principle for stochastic optimal control problems of forward-backward stochastic difference systems (FBSΔSs) where the uncertainty is modeled by…
math.PR2019★ 2 cited
Solvability of one kind of forward-backward stochastic difference equations
Shaolin Ji, Haodong Liu
In this paper, we study the solvability problem for one kind of fully coupled forward-backward stochastic difference equations (FBSΔEs). With the help of the necessary and sufficie…