Viscosity solutions approach to finite-horizon continuous-time Markov decision process.
- Published in:
- International Journal of Control, 2025, v. 98, n. 2, p. 369, doi. 10.1080/00207179.2024.2338448
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- Publication type:
- Article
Works by Shao, Jinghai
Results: 12
1
2
Optimal feedback control of stock prices under credit risk dynamics.
- Published in:
- Annals of Operations Research, 2022, v. 313, n. 2, p. 1285, doi. 10.1007/s10479-021-04002-6
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- Publication type:
- Article
3
Wellposedness of conditional McKean-Vlasov equations with singular drifts and regime-switching.
- Published in:
- Discrete & Continuous Dynamical Systems - Series B, 2023, v. 28, n. 5, p. 1, doi. 10.3934/dcdsb.2022197
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- Publication type:
- Article
4
Viscosity Solutions to HJB Equations with Hölder Continuous Coefficients.
- Published in:
- Journal of Optimization Theory & Applications, 2025, v. 205, n. 3, p. 1, doi. 10.1007/s10957-025-02665-w
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- Publication type:
- Article
5
Comparison theorem and stability under perturbation of transition rate matrices for regime-switching processes.
- Published in:
- Journal of Applied Probability, 2024, v. 61, n. 2, p. 540, doi. 10.1017/jpr.2023.54
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- Publication type:
- Article
6
Wellposedness of Viscosity Solutions to Weakly Coupled HJB Equations Under Hölder continuous conditions.
- Published in:
- Applied Mathematics & Optimization, 2023, v. 87, n. 2, p. 1, doi. 10.1007/s00245-022-09946-0
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- Publication type:
- Article
7
Wasserstein space over the Wiener space.
- Published in:
- Probability Theory & Related Fields, 2010, v. 146, n. 3/4, p. 535, doi. 10.1007/s00440-009-0199-5
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- Publication type:
- Article
8
ESTIMATES OF THE EXIT PROBABILITY FOR TWO CORRELATED BROWNIAN MOTIONS.
- Published in:
- Advances in Applied Probability, 2013, v. 45, n. 1, p. 37, doi. 10.1239/aap/1363354102
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- Publication type:
- Article
9
Ergodicity and First Passage Probability of Regime-Switching Geometric Brownian Motions.
- Published in:
- Chinese Annals of Mathematics, 2018, v. 39, n. 4, p. 739, doi. 10.1007/s11401-018-0093-5
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- Publication type:
- Article
10
Propagation of chaos and conditional McKean-Vlasov SDEs with regime-switching.
- Published in:
- Frontiers of Mathematics in China, 2022, v. 17, n. 4, p. 731, doi. 10.1007/s11464-021-0960-3
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- Publication type:
- Article
11
First passage probabilities of one-dimensional diffusion processes.
- Published in:
- Frontiers of Mathematics in China, 2015, v. 10, n. 4, p. 901, doi. 10.1007/s11464-015-0459-x
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- Publication type:
- Article
12
Long-time behavior of Lévy-driven Ornstein–Uhlenbeck processes with regime switching.
- Published in:
- Journal of Applied Probability, 2020, v. 57, n. 1, p. 266, doi. 10.1017/jpr.2019.96
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- Publication type:
- Article