Maximum Principle and the Applications of Mean-Field Backward Doubly Stochastic System
Pure and Applied Mathematics Journal
Volume 4, Issue 3, June 2015, Pages: 101-108
Received: Apr. 22, 2015; Accepted: May 5, 2015; Published: Jun. 1, 2015
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Authors
Hong Zhang, School of Information, Beijing Wuzi University, Beijing, China
Jingyi Wang, School of Banking and Finance, University of International Business and Economics, Beijing, China
Tengyu Zhao, School of Management Science and Engineering, Central University of Finance and Economics, Beijing, China
Li Zhou, School of Information, Beijing Wuzi University, Beijing, China
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Abstract
Since Pardoux and Peng firstly studied the following nonlinear backward stochastic differential equations in 1990. The theory of BSDE has been widely studied and applied, especially in the stochastic control, stochastic differential games, financial mathematics and partial differential equations. In 1994, Pardoux and Peng came up with backward doubly stochastic differential equations to give the probabilistic interpretation for stochastic partial differential equations. Backward doubly stochastic differential equations theory has been widely studied because of its importance in stochastic partial differential equations and stochastic control problems. In this article, we will study the theory of doubly stochastic systems and related topics further.
Keywords
Mean-Field Backward Doubly, Stochastic System, Stochastic Control
To cite this article
Hong Zhang, Jingyi Wang, Tengyu Zhao, Li Zhou, Maximum Principle and the Applications of Mean-Field Backward Doubly Stochastic System, Pure and Applied Mathematics Journal. Vol. 4, No. 3, 2015, pp. 101-108. doi: 10.11648/j.pamj.20150403.17
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