ABSTRACT
The Feynman-Kac formula establishes the probabilistic representation of solutions to PDEs, linking the convergence of numerical schemes for PDEs to limit theorems in probability theory....
Venue: Online via Zoom
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https://cityu.zoom.us/j/97267902838?pwd=VWJKTnJXdFdFT2hNVVBxL0N4SXhvUT09
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ABSTRACT
In this paper, we study a class of zero-sum two-player stochastic differential games with the controlled stochastic differential equations and the payoff/cost functionals of recursive type...
Venue: Online via Zoom
https://nus-sg.zoom.us/j/87645650702?pwd=OWUyODF5alBFSExPL0pzcEJIblh0Zz09
ABSTRACT
Motivated by the self-pursuit of controlled objects, we consider the exact controllability of a linear stochastic game-based control system (SGBCS, for short) generated by a linear-quadrat...
ABSTRACT
This work obtains that, under a monotonicity condition, the invariant probability measure of a McKean-Vlasov process can be approximated by weighted empirical measures of some proces...
Venue: Online Zoom
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