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A spectral method for stochastic fractional PDEs using dynamically-orthogonal/bi-orthogonal decomposition
期刊论文
JOURNAL OF COMPUTATIONAL PHYSICS, 2022, 卷号: 461, 页码: 17
作者:
Zhao, Yue
;
Mao, Zhiping
;
Guo, Ling
;
Tang, Yifa
;
Karniadakis, George Em
收藏
  |  
浏览/下载:9/0
  |  
提交时间:2023/02/07
Uncertainty quantification
Anomalous transport
Quasi Monte Carlo simulation
Generalized polynomial chaos
Long-time integration
Poly-fractonomials
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
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  |  
浏览/下载:6/0
  |  
提交时间:2023/02/07
Nonlinear Fokker-Planck equation
McKean-Vlasov stochastic differential equation
Diffusion process
Ergodicity
Feynman-Kac formula
STOCHASTIC DIFFERENTIAL EQUATION WITH PIECEWISE CONTINUOUS ARGUMENTS: MARKOV PROPERTY, INVARIANT MEASURE AND NUMERICAL APPROXIMATION
期刊论文
DISCRETE AND CONTINUOUS DYNAMICAL SYSTEMS-SERIES B, 2022, 页码: 43
作者:
Chen, Chuchu
;
Hong, Jialin
;
Lu, Yulan
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  |  
浏览/下载:3/0
  |  
提交时间:2023/02/07
 
Invariant measure
Markov chain
weak convergence
backward Euler method
stochastic differential equations with piecewise continuous arguments
Social Optima in Robust Mean Field LQG Control: From Finite to Infinite Horizon
期刊论文
IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 2021, 卷号: 66, 期号: 4, 页码: 1529-1544
作者:
Wang, Bing-Chang
;
Huang, Jianhui
;
Zhang, Ji-Feng
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  |  
浏览/下载:42/0
  |  
提交时间:2021/06/01
Mathematical model
Games
Robustness
Uncertainty
Optimal control
Stochastic processes
Differential equations
Forward-backward stochastic differential equation (FBSDE)
linear quadratic optimal control
mean field control
model uncertainty
social functional variation
KALMAN-BUCY FILTERING AND MINIMUM MEAN SQUARE ESTIMATOR UNDER UNCERTAINTY
期刊论文
SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 2021, 卷号: 59, 期号: 4, 页码: 2669-2692
作者:
Ji, Shaolin
;
Kong, Chuiliu
;
Sun, Chuanfeng
;
Zhang, Ji-Feng
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  |  
浏览/下载:3/0
  |  
提交时间:2022/04/02
Kalman-Bucy filtering
minimum mean square estimator
drift uncertainty
convex operator
minimax theorem
backward stochastic differential equation
Mean field linear-quadratic control: Uniform stabilization and social optimality
期刊论文
AUTOMATICA, 2020, 卷号: 121, 页码: 14
作者:
Wang, Bing-Chang
;
Zhang, Huanshui
;
Zhang, Ji-Feng
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  |  
浏览/下载:17/0
  |  
提交时间:2021/01/14
Mean field game
Variational analysis
Stabilization control
FBSDE
Riccati equation
Highly Accurate Numerical Schemes for Stochastic Optimal Control Via FBSDEs
期刊论文
NUMERICAL MATHEMATICS-THEORY METHODS AND APPLICATIONS, 2020, 卷号: 13, 期号: 2, 页码: 296-319
作者:
Fu, Yu
;
Zhao, Weidong
;
Zhou, Tao
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  |  
浏览/下载:19/0
  |  
提交时间:2020/05/24
Forward backward stochastic differential equations
stochastic optimal control
stochastic maximum principle
projected quasi-Newton methods
Razumikhin-type technique on stability of exact and numerical solutions for the nonlinear stochastic pantograph differential equations
期刊论文
BIT NUMERICAL MATHEMATICS, 2019, 卷号: 59, 页码: 77-96
作者:
Guo, Ping
;
Li, Chong-Jun
收藏
  |  
浏览/下载:10/0
  |  
提交时间:2019/12/02
Stochastic pantograph differential equation
Razumikhin-type technique
Global th moment
th moment polynomial stability
Euler-Maruyama and backward Euler-Maruyama method
Dynamic risk measures for processes via backward stochastic differential equations
期刊论文
Insurance: Mathematics and Economics, 2019
作者:
Shijie Wang
;
Xunjun Shi
;
Jinming Zhou
;
Ronglin Ji
收藏
  |  
浏览/下载:11/0
  |  
提交时间:2019/04/24
Dynamic
risk
measure
for
processes
Dynamic
convex
risk
measure
Dynamic
coherent
risk
measure
Backward
stochastic
differential
equation
g-expectation
Mean-field anticipated BSDEs driven by fractional Brownian motion and related stochastic control problem
期刊论文
APPLIED MATHEMATICS AND COMPUTATION, 2019, 卷号: 355, 页码: 282-298
作者:
Douissi, Soukaina
;
Wen, Jiaqiang
;
Shi, Yufeng
收藏
  |  
浏览/下载:1/0
  |  
提交时间:2019/12/11
Mean-field backward stochastic differential equation
Anticipated
backward stochastic differential equation
Fractional Brownian motion
Stochastic control
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