Zobrazeno 1 - 10
of 23
pro vyhledávání: '"Gaofeng Zong"'
Autor:
Qinglong Zhou, Gaofeng Zong
Publikováno v:
Electronic Research Archive, Vol 30, Iss 7, Pp 2550-2567 (2022)
We consider a general stochastic linear-quadratic differential game with time-inconsistency. The time-inconsistency arises from the presence of quadratic terms of the expected state as well as state-dependent term in the objective functionals. We def
Externí odkaz:
https://doaj.org/article/bd0937f05b464da2b58478c7042be3aa
Autor:
Mingli Zhang, Gaofeng Zong
Publikováno v:
Mathematics, Vol 11, Iss 21, p 4485 (2023)
We consider the Cox–Ingersoll–Ross (CIR) model in time-dependent domains, that is, the CIR process in time-dependent domains reflected at the time-dependent boundary. This is a very meaningful question, as the CIR model is commonly used to descri
Externí odkaz:
https://doaj.org/article/beae3ffe9f7847799d077ab87a25ddf3
Autor:
Gaofeng Zong
Publikováno v:
Complexity, Vol 2023 (2023)
In this article, we consider the Nash equilibrium of stochastic differential game where the state process is governed by a controlled stochastic partial differential equation and the information available to the controllers is possibly less than the
Externí odkaz:
https://doaj.org/article/f1ae60122c8d45e9a987c1ab7879502c
Autor:
Zihao An, Gaofeng Zong
Publikováno v:
Journal of Function Spaces, Vol 2022 (2022)
By constructing a coupling with unbounded time-dependent drift, a lower bound estimate of dimension-free Harnack inequality with power is obtained for a large class of stochastic differential equation with multiplicative noise. The key is an applicat
Externí odkaz:
https://doaj.org/article/cce6470fa99043289ebd0efbb8e63fb5
Autor:
Gaofeng Zong
Publikováno v:
Advances in Continuous and Discrete Models. 2023
In this paper, we tame the uncertainty about the volatility in time-averaging principle for stochastic differential equations driven by G-Brownian motion (G-SDEs) based on the Lyapunov condition. That means we treat the time-averaging principle for s
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::98ca9882ad5bcd2aa865b9209a927064
https://doi.org/10.1186/s13662-023-03772-6
https://doi.org/10.1186/s13662-023-03772-6
Autor:
Gaofeng Zong
Publikováno v:
Journal of Mathematical Analysis and Applications. 518:126682
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::7b3ef4a9c68868d32b35fd91432506ea
https://doi.org/10.1016/j.jmaa.2022.126682
https://doi.org/10.1016/j.jmaa.2022.126682
Autor:
Shiqiu Zheng, Gaofeng Zong
Publikováno v:
Stochastics. 91:836-856
This paper introduces a class of backward stochastic differential equations (BSDEs), whose coefficients not only depend on the value of its solutions of the present but also the past and the future. For a sufficiently small time delay or a sufficient
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7f95f899213579f0424fcafe2727b370
https://doi.org/10.1080/17442508.2018.1551399
https://doi.org/10.1080/17442508.2018.1551399
Publikováno v:
Statistics & Probability Letters. 139:129-134
This paper considers verification theorems for optimal stopping under ambiguity for diffusion processes via connecting with free boundary problems in infinite time horizon.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8c0fc02d8b6a8cb2ecd70775a7245644
https://doi.org/10.1016/j.spl.2018.04.005
https://doi.org/10.1016/j.spl.2018.04.005
Autor:
Gaofeng Zong, Xinwei Feng
Publikováno v:
Frontiers of Mathematics in China. 13:779-796
Almost automorphic is a particular case of the recurrent motion, which has been studied in differential equations for a long time. We introduce square-mean pseudo almost automorphic and some of its properties, and then study the pseudo almost automor
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::98fd2d3daaaec8833b46ec3fc85016c9
https://doi.org/10.1007/s11464-018-0715-y
https://doi.org/10.1007/s11464-018-0715-y
Publikováno v:
International Journal of Uncertainty, Fuzziness and Knowledge-Based Systems. 25:557-571
In this paper, we propose a concept of comonotonicity of random sets, which is a set inclusion relation and generalized notion of comonotonicity of real-valued random variables. Then we study some elementary properties of comonotonicity of random set
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a43b5036bb01ed2b5db2cac476e54a65
https://doi.org/10.1142/s0218488517500246
https://doi.org/10.1142/s0218488517500246