Probability, Uncertainty and Quantitative Risk
SCOPUS (2016-2023)ESCI-ISI
2367-0126
Cơ quản chủ quản: AMER INST MATHEMATICAL SCIENCES-AIMS , American Institute of Mathematical Sciences
Lĩnh vực:
Statistics, Probability and UncertaintyApplied MathematicsStatistics and Probability
Các bài báo tiêu biểu
Mixed deterministic and random optimal control of linear stochastic systems with quadratic costs
Tập 4 Số 1 - 2019
Fully nonlinear stochastic and rough PDEs: Classical and viscosity solutions
Tập 5 - Trang 1-59 - 2020
We study fully nonlinear second-order (forward) stochastic PDEs. They can also be viewed as forward path-dependent PDEs and will be treated as rough PDEs under a unified framework. For the most general fully nonlinear case, we develop a local theory of classical solutions and then define viscosity solutions through smooth test functions. Our notion of viscosity solutions is equivalent to the alter...... hiện toàn bộ