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math.PR2022
On mean-field control problems for backward doubly stochastic systems
Jian Song, Meng Wang
This article is concerned with stochastic control problems for backward doubly stochastic differential equations of mean-field type, where the coefficient functions depend on the j…
math.PR2021
Stochastic maximum principle for systems driven by local martingales with spatial parameters
Jian Song, Meng Wang
We consider the stochastic optimal control problem for the dynamical system of the stochastic differential equation driven by a local martingale with a spatial parameter. Assuming…