The optimal control problem of fully coupled forward-backward stochastic systems is put forward. A necessary condition, called maximum principle, for an optimal control of the problem with the control domain being con...The optimal control problem of fully coupled forward-backward stochastic systems is put forward. A necessary condition, called maximum principle, for an optimal control of the problem with the control domain being convex is proved.展开更多
Both necessary and sufficient maximum principles for optimal control of stochastic systemwith random jumps consisting of forward and backward state variables are proved.The control variableis allowed to enter both dif...Both necessary and sufficient maximum principles for optimal control of stochastic systemwith random jumps consisting of forward and backward state variables are proved.The control variableis allowed to enter both diffusion and jump coefficients.The result is applied to a mean-varianceportfolio selection mixed with a recursive utility functional optimization problem.Explicit expressionof the optimal portfolio selection strategy is obtained in the state feedback form.展开更多
Comprehensive optimization design of serpentine nozzle with trapezoidal outlet was studied to improve its aerodynamic and electromagnetic scattering performance.Serpentine nozzles with different center offsets and dif...Comprehensive optimization design of serpentine nozzle with trapezoidal outlet was studied to improve its aerodynamic and electromagnetic scattering performance.Serpentine nozzles with different center offsets and different ratios of the bases of the trapezoidal outlet were generated based on curvature control regulation.Computational Fluid Dynamics(CFD)simulations have been conducted to obtain the flow field in the nozzle,and Forward-Backward Iterative Physical Optics(FBIPO)method was applied to study the electromagnetic scattering characteristics of the nozzle.Guarantee Convergence Particle Swarm Optimization(GCPSO)algorithm based on Radial Basis Function(RBF)neural network was used to optimize the geometry of the nozzle in consideration of its aerodynamic and electromagnetic scattering characteristics.The results show that the GCPSO method based on RBF can be used to optimize the aerodynamic characteristics of the internal flow and the scattering characteristics of the cavity of the serpentine nozzle with irregular outlet.The optimized model has a higher center offset and a lower ratio of the bases of the trapezoidal outlet after optimization compared to the original model.The optimized model leads to a slight change in aerodynamic performance,with a total pressure recovery coefficient increase of 0.31%and a discharge coefficient increase of 0.41%.In addition,the Radar Cross Section(RCS)decreases also by around 83.33%and the overall performance is significantly improved,with a decrease of the optimized objective function by around 38.74%.展开更多
The notion of bridge is introduced for systems of coupled forward-backward doubly stochastic differential equations （FBDSDEs）. It is proved that if two FBDSDEs are linked by a bridge, then they have the same unique ...The notion of bridge is introduced for systems of coupled forward-backward doubly stochastic differential equations （FBDSDEs）. It is proved that if two FBDSDEs are linked by a bridge, then they have the same unique solvability. Consequently, by constructing appropriate bridges, we obtain several classes of uniquely solvable FBDSDEs. Finally, the probabilistie interpretation for the solutions to a class of quasilinear stochastic partial differential equations （SPDEs） combined with algebra equations is given. One distinctive character of this result is that the forward component of the FBDSDEs is coupled with the backvzard variable.展开更多
A two-time-level, three-dimensional numerical ocean circulation model is established with a two-level, single-step Eulerian time-difference scheme. The mathematical model of the large-scale oceanic motions is based on...A two-time-level, three-dimensional numerical ocean circulation model is established with a two-level, single-step Eulerian time-difference scheme. The mathematical model of the large-scale oceanic motions is based on the terrain-following coo-rdinated, Boussinesq, Reynolds-averaged primitive equations of ocean dynamics. A simple but very practical Eulerian forward-back-ward method is adopted to replace the most preferred leapfrog scheme as the time-difference method for both barotropic and barocli-nic modes. The forward-backward method is of the second order of accuracy, requires only once of the function evaluation per time step, and is free of the computational mode inherent in the three-level schemes. It is superior in many respects to the original leapfrog and Asselin-filtered leapfrog schemes in the practical use. The performance of the newly-built circulation model is tested by simula-ting a barotropic （tides in marginal seas of China） and a baroclinic phenomenon （seasonal evolution of the Yellow Sea Cold Water Mass）, respectively. The three-year time histories of four prognostic variables obtained by the POM model and the two-time-level model are compared in a regional simulation experiment for the northwest Pacific to further show the reliability of the two-level scheme circulation model.展开更多
This paper proposes a hybrid method based on the forward-backward method （FBM） and the reciprocity theorem （RT） for evaluating the scattering field from dielectric rough surface with a 2D target above it. Here, th...This paper proposes a hybrid method based on the forward-backward method （FBM） and the reciprocity theorem （RT） for evaluating the scattering field from dielectric rough surface with a 2D target above it. Here, the equivalent electric/magnetic current densities on the rough surface as well as the scattering field from it are numerically calculated by FBM, and the scattered field from the isolated target is obtained utilizing the method of moments （MOM）. Meanwhile, the rescattered coupling interactions between the target and the surface are evaluated employing the combination of FBM and RT. Our hybrid method is first validated by available MOM results. Then, the functional dependences of bistatic and monostatic scattering from the target above rough surface upon the target altitude, incident and scattering angles are numerically simulated and discussed. This study presents a numerical description for the scattering mechanism associated with rescattered coupling interactions between a target and an underlying randomly rough surface.展开更多
A two-time-level, three-dimensional numerical ocean circulation model（named MASNUM） was established with a two-level, single-step Eulerian forward-backward time-differencing scheme. A mathematical model of large-sca...A two-time-level, three-dimensional numerical ocean circulation model（named MASNUM） was established with a two-level, single-step Eulerian forward-backward time-differencing scheme. A mathematical model of large-scale oceanic motions was based on the terrain-following coordinated, Boussinesq, Reynolds-averaged primitive equations of ocean dynamics. A simple but very practical Eulerian forward-backward method was adopted to replace the most preferred leapfrog scheme as the time-differencing method for both barotropic and baroclinic modes. The forward-backward method is of second-order of accuracy, computationally efficient by requiring only one function evaluation per time step, and free of the computational mode inherent in the three-level schemes. This method is superior to the leapfrog scheme in that the maximum time step of stability is twice as large as that of the leapfrog scheme in staggered meshes thus the computational efficiency could be doubled. A spatial smoothing method was introduced to control the nonlinear instability in the numerical integration. An ideal numerical experiment simulating the propagation of the equatorial Rossby soliton was performed to test the amplitude and phase error of this new model. The performance of this circulation model was further verified with a regional（northwest Pacific） and a quasi-global（global ocean simulation with the Arctic Ocean excluded） simulation experiments. These two numerical experiments show fairly good agreement with the observations. The maximum time step of stability in these two experiments were also investigated and compared between this model and that model which adopts the leapfrog scheme.展开更多
The authors discuss one type of general forward-backward stochastic differential equations (FBSDEs) with Ito's stochastic delayed equations as the forward equations and anticipated backward stochastic differential...The authors discuss one type of general forward-backward stochastic differential equations (FBSDEs) with Ito's stochastic delayed equations as the forward equations and anticipated backward stochastic differential equations as the backward equations.The existence and uniqueness results of the general FBSDEs are obtained.In the framework of the general FBSDEs in this paper,the explicit form of the optimal control for linear-quadratic stochastic optimal control problem with delay and the Nash equilibrium point for nonzero sum differential games problem with delay are obtained.展开更多
This paper considers a linear-quadratic(LQ) meanfield game governed by a forward-backward stochastic system with partial observation and common noise,where a coupling structure enters state equations,cost functionals ...This paper considers a linear-quadratic(LQ) meanfield game governed by a forward-backward stochastic system with partial observation and common noise,where a coupling structure enters state equations,cost functionals and observation equations.Firstly,to reduce the complexity of solving the meanfield game,a limiting control problem is introduced.By virtue of the decomposition approach,an admissible control set is proposed.Applying a filter technique and dimensional-expansion technique,a decentralized control strategy and a consistency condition system are derived,and the related solvability is also addressed.Secondly,we discuss an approximate Nash equilibrium property of the decentralized control strategy.Finally,we work out a financial problem with some numerical simulations.展开更多
Multiplexed sequencing relies on specific sample labels,the barcodes,to tag DNA fragments belonging to different samples and to separate the output of the sequencers.However,the barcodes are often corrupted by inserti...Multiplexed sequencing relies on specific sample labels,the barcodes,to tag DNA fragments belonging to different samples and to separate the output of the sequencers.However,the barcodes are often corrupted by insertion,deletion and substitution errors introduced during sequencing,which may lead to sample misassignment.In this paper,we propose a barcode construction method,which combines a block error-correction code with a predetermined pseudorandom sequence to generate a base sequence for labeling different samples.Furthermore,to identify the corrupted barcodes for assigning reads to their respective samples,we present a soft decision identification method that consists of inner decoding and outer decoding.The inner decoder establishes the hidden Markov model(HMM)for base insertion/deletion estimation with the pseudorandom sequence,and adapts the forward-backward(FB)algorithm to output the soft information of each bit in the block code.The outer decoder performs soft decision decoding using the soft information to effectively correct multiple errors in the barcodes.Simulation results show that the proposed methods are highly robust to high error rates of insertions,deletions and substitutions in the barcodes.In addition,compared with the inner decoding algorithm of the barcodes based on watermarks,the proposed inner decoding algorithm can greatly reduce the decoding complexity.展开更多
Forward-backward algorithm, used by watermark decoder for correcting non-binary synchronization errors, requires to traverse a very large scale trellis in order to achieve the proper posterior probability, leading to ...Forward-backward algorithm, used by watermark decoder for correcting non-binary synchronization errors, requires to traverse a very large scale trellis in order to achieve the proper posterior probability, leading to high computational complexity. In order to reduce the number of the states involved in the computation, an adaptive pruning method for the trellis is proposed. In this scheme, we prune the states which have the low forward-backward quantities below a carefully-chosen threshold. Thus, a wandering trellis with much less states is achieved, which contains most of the states with quite high probability. Simulation results reveal that, with the proper scaling factor, significant complexity reduction in the forward-backward algorithm is achieved at the expense of slight performance degradation.展开更多
This paper studies the problem of partially observed optimal control for forward-backward stochastic systems which are driven both by Brownian motions and an independent Poisson random measure. Combining forward-backw...This paper studies the problem of partially observed optimal control for forward-backward stochastic systems which are driven both by Brownian motions and an independent Poisson random measure. Combining forward-backward stochastic differential equation theory with certain classical convex variational techniques, the necessary maximum principle is proved for the partially observed optimal control, where the control domain is a nonempty convex set. Under certain convexity assumptions, the author also gives the sufficient conditions of an optimal control for the aforementioned optimal optimal problem. To illustrate the theoretical result, the author also works out an example of partial information linear-quadratic optimal control, and finds an explicit expression of the corresponding optimal control by applying the necessary and sufficient maximum principle.展开更多
The existence and uniqueness results of fully coupled forward-backward stochastic differential equations with stopping time (unbounded) is obtained. One kind of comparison theorem for this kind of equations is also pr...The existence and uniqueness results of fully coupled forward-backward stochastic differential equations with stopping time (unbounded) is obtained. One kind of comparison theorem for this kind of equations is also proved.展开更多
This paper studies the well-posedness of fully coupled linear forward-backward stochastic differential equations (FBSDEs). The authors introduce two main methods-the method of continuation under monotonicity condition...This paper studies the well-posedness of fully coupled linear forward-backward stochastic differential equations (FBSDEs). The authors introduce two main methods-the method of continuation under monotonicity conditions and the unified approach-to ensure the existence and uniqueness of solutions of fully coupled linear FBSDEs. The authors show that the first method (the method of continuation under monotonicity conditions) can be deduced as a special case of the second method (the unified approach). An example is given to illustrate it in linear FBSDEs case. And then, a linear transformation method in virtue of the non-degeneracy of transformation matrix is introduced for cases that the linear FBSDEs can not be dealt with by the the method of continuation under monotonicity conditions and the unified approach directly. As a powerful supplement to the the method of continuation under monotonicity conditions and the unified approach, linear transformation method overall develops the well-posedness theory of fully coupled linear forward-backward stochastic differential equations which have potential applications in optimal control and partial differential equation theory.展开更多
We introduce a new Euler-type scheme and its iterative algorithm for solving weakly coupled forward-backward stochastic differential equations （FBSDEs）. Although the schemes share some common features with the ones ...We introduce a new Euler-type scheme and its iterative algorithm for solving weakly coupled forward-backward stochastic differential equations （FBSDEs）. Although the schemes share some common features with the ones proposed by C. Bender and J. Zhang [Ann. Appl. Probab., 2008, 18： 143-177], less computational work is needed for our method. For both our schemes and the ones proposed by Bender and Zhang, we rigorously obtain first-order error estimates, which improve the half-order error estimates of Bender and Zhang. Moreover, numerical tests are given to demonstrate the first-order accuracy of the schemes.展开更多
In this paper we propose the finite difference method for the forward-backward heat equation. We use a coarse-mesh second-order central difference scheme at the middle line mesh points and derive the error estimate. T...In this paper we propose the finite difference method for the forward-backward heat equation. We use a coarse-mesh second-order central difference scheme at the middle line mesh points and derive the error estimate. Then we discuss the iterative method based on the domain decomposition for our scheme and derive the bounds for the rates of convergence. Finally we present some numerical experiments to support our analysis.展开更多
The solvability of a class of forward-backward stochastic differential differential equations(SDEs for short)over an arbitrarily prescribed time duration is studied. The authors design a stochastic relaxed control pro...The solvability of a class of forward-backward stochastic differential differential equations(SDEs for short)over an arbitrarily prescribed time duration is studied. The authors design a stochastic relaxed control problem, with both drift and diffusion all being controlled, so that the solvability problem is converted to a problem of finding the nodal set of the viscosity solution to a certain Hamilton-Jacobi-Bellman equation.This method overcomes the fatal difficulty encountered in the traditional contraction mapping approach to the existence theorem of such SDEs.展开更多
文摘The optimal control problem of fully coupled forward-backward stochastic systems is put forward. A necessary condition, called maximum principle, for an optimal control of the problem with the control domain being convex is proved.
基金supported by the National Basic Research Program of China (973 Program) under Grant No.2007CB814904the National Natural Science Foundations of China under Grant Nos.10921101 and 10701050the Natural Science Foundation of Shandong Province under Grant Nos.JQ200801 and 2008BS01024
文摘Both necessary and sufficient maximum principles for optimal control of stochastic systemwith random jumps consisting of forward and backward state variables are proved.The control variableis allowed to enter both diffusion and jump coefficients.The result is applied to a mean-varianceportfolio selection mixed with a recursive utility functional optimization problem.Explicit expressionof the optimal portfolio selection strategy is obtained in the state feedback form.
基金the financial support of the Fundamental Research Funds for the Central Universities(No.31020190MS708)。
文摘Comprehensive optimization design of serpentine nozzle with trapezoidal outlet was studied to improve its aerodynamic and electromagnetic scattering performance.Serpentine nozzles with different center offsets and different ratios of the bases of the trapezoidal outlet were generated based on curvature control regulation.Computational Fluid Dynamics(CFD)simulations have been conducted to obtain the flow field in the nozzle,and Forward-Backward Iterative Physical Optics(FBIPO)method was applied to study the electromagnetic scattering characteristics of the nozzle.Guarantee Convergence Particle Swarm Optimization(GCPSO)algorithm based on Radial Basis Function(RBF)neural network was used to optimize the geometry of the nozzle in consideration of its aerodynamic and electromagnetic scattering characteristics.The results show that the GCPSO method based on RBF can be used to optimize the aerodynamic characteristics of the internal flow and the scattering characteristics of the cavity of the serpentine nozzle with irregular outlet.The optimized model has a higher center offset and a lower ratio of the bases of the trapezoidal outlet after optimization compared to the original model.The optimized model leads to a slight change in aerodynamic performance,with a total pressure recovery coefficient increase of 0.31%and a discharge coefficient increase of 0.41%.In addition,the Radar Cross Section(RCS)decreases also by around 83.33%and the overall performance is significantly improved,with a decrease of the optimized objective function by around 38.74%.
基金supported by National Natural Science Foundation of China (Grant Nos. 10771122, 11071145, 10921101 and 11231005)Natural Science Foundation of Shandong Province of China(Grant No. Y2006A08)+1 种基金National Basic Research Program of China (973 Program) (Grant No. 2007CB814900)Independent Innovation Foundation of Shandong University (Grant No. 2010JQ010)
文摘The notion of bridge is introduced for systems of coupled forward-backward doubly stochastic differential equations （FBDSDEs）. It is proved that if two FBDSDEs are linked by a bridge, then they have the same unique solvability. Consequently, by constructing appropriate bridges, we obtain several classes of uniquely solvable FBDSDEs. Finally, the probabilistie interpretation for the solutions to a class of quasilinear stochastic partial differential equations （SPDEs） combined with algebra equations is given. One distinctive character of this result is that the forward component of the FBDSDEs is coupled with the backvzard variable.
基金Project supported by the National Science Foundation of China(Grant No.40906017,41376038)the National High Technology Research and Development Program of China(863 Program,Grant No.2013AA09A506)
文摘A two-time-level, three-dimensional numerical ocean circulation model is established with a two-level, single-step Eulerian time-difference scheme. The mathematical model of the large-scale oceanic motions is based on the terrain-following coo-rdinated, Boussinesq, Reynolds-averaged primitive equations of ocean dynamics. A simple but very practical Eulerian forward-back-ward method is adopted to replace the most preferred leapfrog scheme as the time-difference method for both barotropic and barocli-nic modes. The forward-backward method is of the second order of accuracy, requires only once of the function evaluation per time step, and is free of the computational mode inherent in the three-level schemes. It is superior in many respects to the original leapfrog and Asselin-filtered leapfrog schemes in the practical use. The performance of the newly-built circulation model is tested by simula-ting a barotropic （tides in marginal seas of China） and a baroclinic phenomenon （seasonal evolution of the Yellow Sea Cold Water Mass）, respectively. The three-year time histories of four prognostic variables obtained by the POM model and the two-time-level model are compared in a regional simulation experiment for the northwest Pacific to further show the reliability of the two-level scheme circulation model.
基金Project supported by the National Natural Science Foundation of China (Grant No 60571058)the National Defense Foundation of China
文摘This paper proposes a hybrid method based on the forward-backward method （FBM） and the reciprocity theorem （RT） for evaluating the scattering field from dielectric rough surface with a 2D target above it. Here, the equivalent electric/magnetic current densities on the rough surface as well as the scattering field from it are numerically calculated by FBM, and the scattered field from the isolated target is obtained utilizing the method of moments （MOM）. Meanwhile, the rescattered coupling interactions between the target and the surface are evaluated employing the combination of FBM and RT. Our hybrid method is first validated by available MOM results. Then, the functional dependences of bistatic and monostatic scattering from the target above rough surface upon the target altitude, incident and scattering angles are numerically simulated and discussed. This study presents a numerical description for the scattering mechanism associated with rescattered coupling interactions between a target and an underlying randomly rough surface.
基金The National Science Foundation of China under contract Nos 40906017 and 41376038the National High Technology Research and Development Program(863 Program)of China under contract No.2013AA09A506+1 种基金the National Key Scientific Research Projects under contract No.2012CB955601the Special Projects on Public Sector under contract Nos 200905024 and 201409089
文摘A two-time-level, three-dimensional numerical ocean circulation model（named MASNUM） was established with a two-level, single-step Eulerian forward-backward time-differencing scheme. A mathematical model of large-scale oceanic motions was based on the terrain-following coordinated, Boussinesq, Reynolds-averaged primitive equations of ocean dynamics. A simple but very practical Eulerian forward-backward method was adopted to replace the most preferred leapfrog scheme as the time-differencing method for both barotropic and baroclinic modes. The forward-backward method is of second-order of accuracy, computationally efficient by requiring only one function evaluation per time step, and free of the computational mode inherent in the three-level schemes. This method is superior to the leapfrog scheme in that the maximum time step of stability is twice as large as that of the leapfrog scheme in staggered meshes thus the computational efficiency could be doubled. A spatial smoothing method was introduced to control the nonlinear instability in the numerical integration. An ideal numerical experiment simulating the propagation of the equatorial Rossby soliton was performed to test the amplitude and phase error of this new model. The performance of this circulation model was further verified with a regional（northwest Pacific） and a quasi-global（global ocean simulation with the Arctic Ocean excluded） simulation experiments. These two numerical experiments show fairly good agreement with the observations. The maximum time step of stability in these two experiments were also investigated and compared between this model and that model which adopts the leapfrog scheme.
基金Project supported by the 973 National Basic Research Program of China (No. 2007CB814904)the National Natural Science Foundations of China (No. 10921101)+2 种基金the Shandong Provincial Natural Science Foundation of China (No. 2008BS01024)the Science Fund for Distinguished Young Scholars of Shandong Province (No. JQ200801)the Shandong University Science Fund for Distinguished Young Scholars(No. 2009JQ004)
文摘The authors discuss one type of general forward-backward stochastic differential equations (FBSDEs) with Ito's stochastic delayed equations as the forward equations and anticipated backward stochastic differential equations as the backward equations.The existence and uniqueness results of the general FBSDEs are obtained.In the framework of the general FBSDEs in this paper,the explicit form of the optimal control for linear-quadratic stochastic optimal control problem with delay and the Nash equilibrium point for nonzero sum differential games problem with delay are obtained.
基金supported by the National Key Research and Development Program of China(2022YFA1006103,2023YFA1009203)the National Natural Science Foundation of China(61925306,61821004,11831010,61977043,12001320)+2 种基金the Natural Science Foundation of Shandong Province(ZR2019ZD42,ZR2020ZD24)the Taishan Scholars Young Program of Shandong(TSQN202211032)the Young Scholars Program of Shandong University。
文摘This paper considers a linear-quadratic(LQ) meanfield game governed by a forward-backward stochastic system with partial observation and common noise,where a coupling structure enters state equations,cost functionals and observation equations.Firstly,to reduce the complexity of solving the meanfield game,a limiting control problem is introduced.By virtue of the decomposition approach,an admissible control set is proposed.Applying a filter technique and dimensional-expansion technique,a decentralized control strategy and a consistency condition system are derived,and the related solvability is also addressed.Secondly,we discuss an approximate Nash equilibrium property of the decentralized control strategy.Finally,we work out a financial problem with some numerical simulations.
基金Supported in part by the National Natural Science Foundation of China(61671324)Seed Foundation of Tianjin University(2019XZY-0038,2019XYF-0005).
文摘Multiplexed sequencing relies on specific sample labels,the barcodes,to tag DNA fragments belonging to different samples and to separate the output of the sequencers.However,the barcodes are often corrupted by insertion,deletion and substitution errors introduced during sequencing,which may lead to sample misassignment.In this paper,we propose a barcode construction method,which combines a block error-correction code with a predetermined pseudorandom sequence to generate a base sequence for labeling different samples.Furthermore,to identify the corrupted barcodes for assigning reads to their respective samples,we present a soft decision identification method that consists of inner decoding and outer decoding.The inner decoder establishes the hidden Markov model(HMM)for base insertion/deletion estimation with the pseudorandom sequence,and adapts the forward-backward(FB)algorithm to output the soft information of each bit in the block code.The outer decoder performs soft decision decoding using the soft information to effectively correct multiple errors in the barcodes.Simulation results show that the proposed methods are highly robust to high error rates of insertions,deletions and substitutions in the barcodes.In addition,compared with the inner decoding algorithm of the barcodes based on watermarks,the proposed inner decoding algorithm can greatly reduce the decoding complexity.
基金supported in part by National Natural Science Foundation of China (61101114, 61671324) the Program for New Century Excellent Talents in University (NCET-12-0401)
文摘Forward-backward algorithm, used by watermark decoder for correcting non-binary synchronization errors, requires to traverse a very large scale trellis in order to achieve the proper posterior probability, leading to high computational complexity. In order to reduce the number of the states involved in the computation, an adaptive pruning method for the trellis is proposed. In this scheme, we prune the states which have the low forward-backward quantities below a carefully-chosen threshold. Thus, a wandering trellis with much less states is achieved, which contains most of the states with quite high probability. Simulation results reveal that, with the proper scaling factor, significant complexity reduction in the forward-backward algorithm is achieved at the expense of slight performance degradation.
基金This research is supported by the National Nature Science Foundation of China under Grant Nos 11001156, 11071144, the Nature Science Foundation of Shandong Province （ZR2009AQ017）, and Independent Innovation Foundation of Shandong University （IIFSDU）, China.
文摘This paper studies the problem of partially observed optimal control for forward-backward stochastic systems which are driven both by Brownian motions and an independent Poisson random measure. Combining forward-backward stochastic differential equation theory with certain classical convex variational techniques, the necessary maximum principle is proved for the partially observed optimal control, where the control domain is a nonempty convex set. Under certain convexity assumptions, the author also gives the sufficient conditions of an optimal control for the aforementioned optimal optimal problem. To illustrate the theoretical result, the author also works out an example of partial information linear-quadratic optimal control, and finds an explicit expression of the corresponding optimal control by applying the necessary and sufficient maximum principle.
基金This work was supported by the National Natural Science Foundation of China (10001022 and 10371067)the Excellent Young Teachers Program and the Doctoral program Foundation of MOE and Shandong Province,P.R.C.
文摘The existence and uniqueness results of fully coupled forward-backward stochastic differential equations with stopping time (unbounded) is obtained. One kind of comparison theorem for this kind of equations is also proved.
基金supported by the National Natural Science Foundation of China under Grant No.61573217the National High-Level Personnel of Special Support Programthe Chang Jiang Scholar Program of Chinese Education Ministry
文摘This paper studies the well-posedness of fully coupled linear forward-backward stochastic differential equations (FBSDEs). The authors introduce two main methods-the method of continuation under monotonicity conditions and the unified approach-to ensure the existence and uniqueness of solutions of fully coupled linear FBSDEs. The authors show that the first method (the method of continuation under monotonicity conditions) can be deduced as a special case of the second method (the unified approach). An example is given to illustrate it in linear FBSDEs case. And then, a linear transformation method in virtue of the non-degeneracy of transformation matrix is introduced for cases that the linear FBSDEs can not be dealt with by the the method of continuation under monotonicity conditions and the unified approach directly. As a powerful supplement to the the method of continuation under monotonicity conditions and the unified approach, linear transformation method overall develops the well-posedness theory of fully coupled linear forward-backward stochastic differential equations which have potential applications in optimal control and partial differential equation theory.
基金Acknowledgements The authors would like to thank the referees for the valuable comments, which improved the paper a lot. This work was partially supported by the National Natural Science Foundations of China （Grant Nos. 91130003, 11171189） and the Natural Science Foundation of Shandong Province （No. ZR2011AZ002）.
文摘We introduce a new Euler-type scheme and its iterative algorithm for solving weakly coupled forward-backward stochastic differential equations （FBSDEs）. Although the schemes share some common features with the ones proposed by C. Bender and J. Zhang [Ann. Appl. Probab., 2008, 18： 143-177], less computational work is needed for our method. For both our schemes and the ones proposed by Bender and Zhang, we rigorously obtain first-order error estimates, which improve the half-order error estimates of Bender and Zhang. Moreover, numerical tests are given to demonstrate the first-order accuracy of the schemes.
基金The project was supported by National Science Foundation （Grant No. 10471129）.
文摘In this paper we propose the finite difference method for the forward-backward heat equation. We use a coarse-mesh second-order central difference scheme at the middle line mesh points and derive the error estimate. Then we discuss the iterative method based on the domain decomposition for our scheme and derive the bounds for the rates of convergence. Finally we present some numerical experiments to support our analysis.
文摘The solvability of a class of forward-backward stochastic differential differential equations(SDEs for short)over an arbitrarily prescribed time duration is studied. The authors design a stochastic relaxed control problem, with both drift and diffusion all being controlled, so that the solvability problem is converted to a problem of finding the nodal set of the viscosity solution to a certain Hamilton-Jacobi-Bellman equation.This method overcomes the fatal difficulty encountered in the traditional contraction mapping approach to the existence theorem of such SDEs.
