In this paper, we study the stochastic maximum principle for optimal control prob- lem of anticipated forward-backward system with delay and Lovy processes as the random dis- turbance. This control system can be descr...In this paper, we study the stochastic maximum principle for optimal control prob- lem of anticipated forward-backward system with delay and Lovy processes as the random dis- turbance. This control system can be described by the anticipated forward-backward stochastic differential equations with delay and L^vy processes （AFBSDEDLs）, we first obtain the existence and uniqueness theorem of adapted solutions for AFBSDEDLs; combining the AFBSDEDLs＇ preliminary result with certain classical convex variational techniques, the corresponding maxi- mum principle is proved.展开更多
In this paper we investigate an integration by parts formula for Lévy processes by using lower bound conditions of the corresponding Lévy measure. As applications, derivative formula and coupling property ar...In this paper we investigate an integration by parts formula for Lévy processes by using lower bound conditions of the corresponding Lévy measure. As applications, derivative formula and coupling property are derived for transition semigroups of linear SDEs driven by Lévy processes.展开更多
We consider a broad class of Continuous Time Random Walks(CTRW) with large fluctuations effects in space and time distributions: a random walk with trapping, describing subdiffusion in disordered and glassy materials,...We consider a broad class of Continuous Time Random Walks(CTRW) with large fluctuations effects in space and time distributions: a random walk with trapping, describing subdiffusion in disordered and glassy materials,and a L′evy walk process, often used to model superdiffusive effects in inhomogeneous materials. We derive the scaling form of the probability distributions and the asymptotic properties of all its moments in the presence of a field by two powerful techniques, based on matching conditions and on the estimate of the contribution of rare events to power-law tails in a field.展开更多
基金Supported by the National Natural Science Foundation(11221061 and 61174092)111 project(B12023),the National Science Fund for Distinguished Young Scholars of China(11125102)Youth Foundation of QiLu Normal Institute(2012L1010)
文摘In this paper, we study the stochastic maximum principle for optimal control prob- lem of anticipated forward-backward system with delay and Lovy processes as the random dis- turbance. This control system can be described by the anticipated forward-backward stochastic differential equations with delay and L^vy processes （AFBSDEDLs）, we first obtain the existence and uniqueness theorem of adapted solutions for AFBSDEDLs; combining the AFBSDEDLs＇ preliminary result with certain classical convex variational techniques, the corresponding maxi- mum principle is proved.
基金Supported by the National Natural Science Foundation of China(10971180),(11271169)A Project Funded by the Priority Academic Program Development(PAPD) of Jiangsu Higher Education Institutions
文摘In this paper we investigate an integration by parts formula for Lévy processes by using lower bound conditions of the corresponding Lévy measure. As applications, derivative formula and coupling property are derived for transition semigroups of linear SDEs driven by Lévy processes.
基金supported by the Granular Chaos projectfunded by the Italian MIUR under Grant No.RIBD08Z9JE
文摘We consider a broad class of Continuous Time Random Walks(CTRW) with large fluctuations effects in space and time distributions: a random walk with trapping, describing subdiffusion in disordered and glassy materials,and a L′evy walk process, often used to model superdiffusive effects in inhomogeneous materials. We derive the scaling form of the probability distributions and the asymptotic properties of all its moments in the presence of a field by two powerful techniques, based on matching conditions and on the estimate of the contribution of rare events to power-law tails in a field.
