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Linearization of nonlinear Fokker-Planck equations and applications
期刊论文
JOURNAL OF DIFFERENTIAL EQUATIONS, 2022, 卷号: 322, 页码: 1-37
作者:
Ren, Panpan
;
Roeckner, Michael
;
Wang, Feng-Yu
收藏
  |  
浏览/下载:7/0
  |  
提交时间:2023/02/07
Nonlinear Fokker-Planck equation
McKean-Vlasov stochastic differential equation
Diffusion process
Ergodicity
Feynman-Kac formula
Backward doubly stochastic differential equations with random coefficients and quasilinear stochastic PDEs
期刊论文
JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS, 2019, 卷号: 476, 期号: 1, 页码: 86-100
作者:
Wen, Jiaqiang
;
Shi, Yufeng
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  |  
浏览/下载:4/0
  |  
提交时间:2019/12/11
Backward doubly stochastic differential equations
Stochastic partial
differential equations
Nonlinear stochastic Feynman-Kac formula
The Navier-Stokes-alpha equation via forward-backward stochastic differential systems
期刊论文
STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC PROCESSES, 2018, 卷号: 90, 期号: 1, 页码: 1-28
作者:
Liu, Guoping
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  |  
浏览/下载:16/0
  |  
提交时间:2018/07/30
Navier-Stokes-alpha equation
vorticity equation
forward-backward stochastic differential equations
Feynman-Kac formula
New Second-Order Schemes for Forward Backward Stochastic Differential Equations
期刊论文
EAST ASIAN JOURNAL ON APPLIED MATHEMATICS, 2018, 卷号: 8, 期号: 3, 页码: 399-421
作者:
Sun, Yabing
;
Zhao, Weidong
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  |  
浏览/下载:2/0
  |  
提交时间:2019/12/11
Forward backward stochastic differential equations
Feynman-Kac formula
difference approximation
second-order scheme
Backward doubly stochastic differential equations with random coefficients and quasilinear stochastic PDEs
期刊论文
Journal of Mathematical Analysis and Applications, 2018
作者:
Wen J.
;
Shi Y.
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  |  
浏览/下载:8/0
  |  
提交时间:2019/12/11
Backward doubly stochastic differential equations
Nonlinear stochastic Feynman–Kac formula
Stochastic partial differential equations
Quadratic reflected BSDEs and related obstacle problems for PDEs
期刊论文
Communications in Statistics - Theory and Methods, 2018
作者:
Huang Z.
;
Wang H.
;
Wu Z.
;
Yu Z.
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  |  
浏览/下载:3/0
  |  
提交时间:2019/12/11
comparison theorem
Convex generators
Feynman-Kac formula
optimal stopping time
quadratic growth
Reflected BSDEs
Quantum corrections of work statistics in closed quantum systems
期刊论文
PHYSICAL REVIEW E, 2018, 卷号: 98, 页码: 012132
作者:
Fei, Zhaoyu
;
Quan, H. T.
;
Liu, Fei
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  |  
浏览/下载:4/0
  |  
提交时间:2019/12/30
Characteristic functions
Closed quantum system
Exact formulas
Feynman-Kac formula
Harmonic oscillators
Quantum correction
Quantum-classical correspondence
Semi-classical approximation
Quantum optics
SECOND-ORDER NUMERICAL SCHEMES FOR DECOUPLED FORWARD-BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS WITH JUMPS
期刊论文
JOURNAL OF COMPUTATIONAL MATHEMATICS, 2017, 卷号: 35, 期号: 2, 页码: 213-244
作者:
Zhao, Weidong
;
Zhang, Wei
;
Zhang, Guannan
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  |  
浏览/下载:8/0
  |  
提交时间:2019/12/12
Decoupled FBSDEs with Levy jumps
Backward Kolmogorov equation
Non-linear Feynman-Kac formula
Second-order convergence
Error
estimates
Multistep Schemes for Forward Backward Stochastic Differential Equations with Jumps
期刊论文
JOURNAL OF SCIENTIFIC COMPUTING, 2016, 卷号: 69, 期号: 2, 页码: 651-672
作者:
Fu, Yu
;
Zhao, Weidong
;
Zhou, Tao
收藏
  |  
浏览/下载:20/0
  |  
提交时间:2018/07/30
Multistep scheme
Jump-diffusion process
Forward backward stochastic differential equation with jumps
BSDE, path-dependent PDE and nonlinear Feynman-Kac formula
期刊论文
中国科学. 数学, 2016, 卷号: 59, 期号: 1, 页码: 19-36
作者:
Peng ShiGe
;
Wang FaLei
收藏
  |  
浏览/下载:3/0
  |  
提交时间:2019/12/16
backward stochastic differential equation
nonlinear Feynman-Kac
formula
path-dependent PDE
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