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Approximation to Stochastic Variance Reduced Gradient Langevin Dynamics by Stochastic Delay Differential Equations Journal article
Chen, Peng, Lu, Jianya, Xu, Lihu. Approximation to Stochastic Variance Reduced Gradient Langevin Dynamics by Stochastic Delay Differential Equations[J]. Applied Mathematics and Optimization, 2022, 85(2), 15.
Authors:  Chen, Peng;  Lu, Jianya;  Xu, Lihu
Favorite | TC[WOS]:4 TC[Scopus]:3  IF:1.6/1.8 | Submit date：2022/05/17
Malliavin Calculus  Refined Lindeberg Principle  Stochastic Delay Differential Equations (Sddes)  Stochastic Variance Reduced Gradient Langevin Dynamics (Svrg-ld)  Wasserstein-1 Distance  
Stochastic Maximum Principle Under Probability Distortion Journal article
Liang, Qizhu, Xiong, Jie. Stochastic Maximum Principle Under Probability Distortion[J]. APPLIED MATHEMATICS AND OPTIMIZATION, 2021, 83(3), 2109 - 2128.
Authors:  Liang, Qizhu;  Xiong, Jie
Favorite | TC[WOS]:2 TC[Scopus]:2  IF:1.6/1.8 | Submit date：2021/12/08
Behavioral Portfolio Optimization  Cumulative Prospective Theory  Stochastic Maximum Principle  Probability Distortion  S-shaped Utility Function  
Linear Quadratic Optimal Control Problems for Mean-Field Backward Stochastic Differential Equations Journal article
Li, Xun, Sun, Jingrui, Xiong, Jie. Linear Quadratic Optimal Control Problems for Mean-Field Backward Stochastic Differential Equations[J]. Applied Mathematics and Optimization, 2019, 80(1), 223-250.
Authors:  Li, Xun;  Sun, Jingrui;  Xiong, Jie
Favorite | TC[WOS]:55 TC[Scopus]:45  IF:1.6/1.8 | Submit date：2022/05/17
Decoupling  Linear Quadratic Optimal Control  Mean-field Backward Stochastic Differential Equation  Optimality System  Riccati Equation