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Shanjian Tang

Publications and source records attributed to Shanjian Tang.

At least 55 records · Page 3Linked to original sources

Optimal controls of stochastic differential equations with jumps and random coefficients: Stochastic Hamilton-Jacobi-Bellman equations with jumps

In this paper, we study the following nonlinear backward stochastic integral partial differential equation with jumps \begin{equation*} \left\{ \begin{split} -d V(t,x) =&\displaystyle\inf_{u\in U}\bigg\{H(t,x,u, DV(t,x),D Φ(t,x), D^2 V(t,x),\int_E \left(\mathcal I V(t,e,x,u)+Ψ(t,x+g(t,e,x,u))\right)l(t,e)ν(de)) \\ &+\displaystyle\int_{E}\big[\mathcal I V(t,e,x,u)-\displaystyle (g(t, e,x,u), D V(t,x))\big]ν(d e)+\int_{E}\big[\mathcal I Ψ(t,e,x,u)\big]ν(d e)\bigg\}dt\\ &-Φ(t,x)dW(t)-\displaystyle\int_{E} Ψ(t, e,x)\tildeμ(d e,dt),\\ V(T,x)=& \ h(x), \end{split} \right. \end{equation*} where $\tilde μ$ is a Poisson random martingale measure, $W$ is a Brownian motion, and $\mathcal I$ is a non-local operator to be specified later. The function $H$ is a given random mapping, which arises from a corresponding non-Markovian optimal control problem. This equation appears as the stochastic Hamilton-Jacobi-Bellman equation, which characterizes the value function of the optimal control problem with a recursive utility cost functional. The solution to the equation is a predictable triplet of random fields $(V,Φ,Ψ)$. We show that the value function, under some regularity assumptions, is the solution to the stochastic HJB equation; and a classical solution to this equation is the value function and gives the optimal control. With some additional assumptions on the coefficients, an existence and uniqueness result in the sense of Sobolev space is shown by recasting the backward stochastic partial integral differential equation with jumps as a backward stochastic evolution equation in Hilbert spaces with Poisson jumps.

math.OC↗

Multi-dimensional backward stochastic differential equations of diagonally quadratic generators: the general result

This paper is devoted to a general solvability of a multi-dimensional backward stochastic differential equation (BSDE) of a diagonally quadratic generator $g(t,y,z)$, by relaxing the assumptions of \citet{HuTang2016SPA} on the generator and terminal value. More precisely, the generator $g(t,y,z)$ can have more general growth and continuity in $y$ in the local solution; while in the global solution, the generator $g(t,y,z)$ can have a skew sub-quadratic but in addition "strictly and diagonally" quadratic growth in the second unknown variable $z$, or the terminal value can be unbounded but the generator $g(t,y,z)$ is "diagonally dependent" on the second unknown variable $z$ (i.e., the $i$-th component $g^i$ of the generator $g$ only depends on the $i$-th row $z^i$ of the variable $z$ for each $i=1,\cdots,n$ ). Three new results are established on the local and global solutions when the terminal value is bounded and the generator $g$ is subject to some general assumptions. When the terminal value is unbounded but is of exponential moments of arbitrary order, an existence and uniqueness result is given under the assumptions that the generator $g(t,y,z)$ is Lipschitz continuous in the first unknown variable $y$, and varies with the second unknown variable $z$ in a "diagonal" , "component-wisely convex or concave", and "quadratically growing" way, which seems to be the first general solvability of systems of quadratic BSDEs with unbounded terminal values. This generalizes and strengthens some existing results via some new ideas.

math.PR↗

Systems of ergodic BSDEs arising in regime switching forward performance processes

We introduce and solve a new type of quadratic backward stochastic differential equation systems defined in an infinite time horizon, called \emph{ergodic BSDE systems}. Such systems arise naturally as candidate solutions to characterize forward performance processes and their associated optimal trading strategies in a regime switching market. In addition, we develop a connection between the solution of the ergodic BSDE system and the long-term growth rate of classical utility maximization problems, and use the ergodic BSDE system to study the large time behavior of PDE systems with quadratic growth Hamiltonians.

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Reflected Quadratic BSDEs driven by $G$-Brownian Motions

In this paper, we consider a reflected backward stochastic differential equation driven by a $G$-Brownian motion ($G$-BSDE), with the generator growing quadratically in the second unknown. We obtain the existence by the penalty method, and a priori estimates which implies the uniqueness, for solutions of the $G$-BSDE. Moreover, focusing our discussion at the Markovian setting, we give a nonlinear Feynman-Kac formula for solutions of a fully nonlinear partial differential equation.

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On the uniqueness of solutions to quadratic BSDEs with non-convex generators and unbounded terminal conditions

We prove a uniqueness result of the unbounded solution for a quadratic backward stochastic differential equation whose terminal condition is unbounded and whose generator $g$ may be non-Lipschitz continuous in the state variable $y$, non-convex (non-concave) in the state variable $z$, and instead satisfies a strictly quadratic condition and an additional assumption. The key observation is that if the generator is strictly quadratic, then the quadratic variation of the first component of the solution admits an exponential moment. Typically, a Lipschitz perturbation of some convex (concave) function satisfies the additional assumption mentioned above. This generalizes some results obtained in \cite{BriandHu2006PTRF} and \cite{BriandHu2008PTRF}.

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Stochastic LQ and Associated Riccati equation of PDEs Driven by State-and Control-Dependent White Noise

The optimal stochastic control problem with a quadratic cost functional for linear partial differential equations (PDEs) driven by a state-and control-dependent white noise is formulated and studied. Both finite-and infinite-time horizons are considered. The multi-plicative white noise dynamics of the system give rise to a new phenomenon of singularity to the associated Riccati equation and even to the Lyapunov equation. Well-posedness of both Riccati equation and Lyapunov equation are obtained for the first time. The linear feedback coefficient of the optimal control turns out to be singular and expressed in terms of the solution of the associated Riccati equation. The null controllability is shown to be equivalent to the existence of the solution to Riccati equation with the singular terminal value. Finally, the controlled Anderson model is addressed as an illustrating example.

math.OC↗

Mean-field type Quadratic BSDEs

In this paper, we give several new results on solvability of a quadratic BSDE whose generator depends also on the mean of both variables. First, we consider such a BSDE using John-Nirenberg's inequality for BMO martingales to estimate its contribution to the evolution of the first unknown variable. Then we consider the BSDE having an additive expected value of a quadratic generator in addition to the usual quadratic one. In this case, we use a deterministic shift transformation to the first unknown variable, when the usual quadratic generator depends neither on the first variable nor its mean, the general case can be treated by a fixed point argument.

math.PR↗

Mixed Deterministic and Random Optimal Control of Linear Stochastic Systems with Quadratic Costs

In this paper, we consider the mixed optimal control of a linear stochastic system with a quadratic cost functional, with two controllers-one can choose only deterministic time functions, called the deterministic controller, while the other can choose adapted random processes, called the random controller. The optimal control is shown to exist under suitable assumptions. The optimal control is characterized via a system of fully coupled forward-backward stochastic differential equations (FB-SDEs) of mean-field type. We solve the FBSDEs via solutions of two (but decoupled) Riccati equations, and give the respective optimal feedback law for both determinis-tic and random controllers, using solutions of both Riccati equations. The optimal state satisfies a linear stochastic differential equation (SDE) of mean-field type. Both the singular and infinite time-horizonal cases are also addressed.

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Nonlinear Backward Stochastic Evolutionary Equations Driven by a Space-Time White Noise

We study the well solvability of nonlinear backward stochastic evolutionary equations driven by a space-time white noise. We first establish a novel a priori estimate for solution of linear backward stochastic evolutionary equations, and then give an existence and uniqueness result for nonlinear backward stochastic evolutionary equations. A dual argument plays a crucial role in the proof of these results. Finally, an example is given to illustrate the existence and uniqueness result.

math.PR↗

Existence of solution to scalar BSDEs with weakly $L^{1+}$-integrable terminal values

In this paper, we study a scalar linearly growing BSDE with a weakly $L^{1+}$-integrable terminal value. We prove that the BSDE admits a solutionif the terminal value satisfies some $Ψ$-integrability condition, which is weaker than the usual $L^p$ ($p>1$) integrability and stronger than $L\log L$ integrability. We show by a counterexample that $L\log L$ integrability is not sufficient for the existence of solutionto a BSDE of a linearly growing generator.

math.PR↗

On the Cauchy problem for backward stochastic partial differential equations in Hölder spaces

This paper is concerned with solution in Hölder spaces of the Cauchy problem for linear and semi-linear backward stochastic partial differential equations (BSPDEs) of super-parabolic type. The pair of unknown variables are viewed as deterministic spatial functionals which take values in Banach spaces of random (vector) processes. We define suitable functional Hölder spaces for them and give some inequalities among these Hölder norms. The existence, uniqueness as well as the regularity of solutions are proved for BSPDEs, which contain new assertions even on deterministic PDEs.

math.AP↗

Multi-Dimensional Backward Stochastic Differential Equations of Diagonally Quadratic generators

The paper is concerned with adapted solution of a multi-dimensional BSDE with a "diagonally" quadratic generator, the quadratic part of whose $i$th component only depends on the $i$th row of the second unknown variable. Local and global solutions are given. In our proofs, it is natural and crucial to apply both John-Nirenberg and reverse Hölder inequalities for BMO martingales.

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Dynamic Programming for General Linear Quadratic Optimal Stochastic Control with Random Coefficients

We are concerned with the linear-quadratic optimal stochastic control problem with random coefficients. Under suitable conditions, we prove that the value field $V(t,x,ω), (t,x,ω)\in [0,T]\times R^n\times Ω$, is quadratic in $x$, and has the following form: $V(t,x)=\langle K_tx, x\rangle$ where $K$ is an essentially bounded nonnegative symmetric matrix-valued adapted processes. Using the dynamic programming principle (DPP), we prove that $K$ is a continuous semi-martingale of the form $$K_t=K_0+\int_0^t \, dk_s+\sum_{i=1}^d\int_0^tL_s^i\, dW_s^i, \quad t\in [0,T]$$ with $k$ being a continuous process of bounded variation and $$E\left[\left(\int_0^T|L_s|^2\, ds\right)^p\right] <\infty, \quad \forall p\ge 2; $$ and that $(K, L)$ with $L:=(L^1, \cdots, L^d)$ is a solution to the associated backward stochastic Riccati equation (BSRE), whose generator is highly nonlinear in the unknown pair of processes. The uniqueness is also proved via a localized completion of squares in a self-contained manner for a general BSRE. The existence and uniqueness of adapted solution to a general BSRE was initially proposed by the French mathematician J. M. Bismut (1976, 1978). It had been solved by the author (2003) via the stochastic maximum principle with a viewpoint of stochastic flow for the associated stochastic Hamiltonian system. The present paper is its companion, and gives the {\it second but more comprehensive} adapted solution to a general BSRE via the DDP. Further extensions to the jump-diffusion control system and to the general nonlinear control system are possible.

math.OC↗

Forward-Backward Stochastic Differential Systems Associated to Navier-Stokes Equations in the Whole Space

A coupled forward-backward stochastic differential system (FBSDS) is formulated in spaces of fields for the incompressible Navier-Stokes equation in the whole space. It is shown to have a unique local solution, and further if either the Reynolds number is small or the dimension of the forward stochastic differential equation is equal to two, it can be shown to have a unique global solution. These results are shown with probabilistic arguments to imply the known existence and uniqueness results for the Navier-Stokes equation, and thus provide probabilistic formulas to the latter. Related results and the maximum principle are also addressed for partial differential equations (PDEs) of Burgers' type. Moreover, from truncating the time interval of the above FBSDS, approximate solution is derived for the Navier-Stokes equation by a new class of FBSDSs and their associated PDEs; our probabilistic formula is also bridged to the probabilistic Lagrangian representations for the velocity field, given by Constantin and Iyer (Commun. Pure Appl. Math. 61: 330--345, 2008) and Zhang (Probab. Theory Relat. Fields 148: 305--332, 2010) ; finally, the solution of the Navier-Stokes equation is shown to be a critical point of controlled forward-backward stochastic differential equations.

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Switching Game of Backward Stochastic Differential Equations and Associated System of Obliquely Reflected Backward Stochastic Differential Equations

This paper is concerned with the switching game of a one-dimensional backward stochastic differential equation (BSDE). The associated Bellman-Isaacs equation is a system of matrix-valued BSDEs living in a special unbounded convex domain with reflection on the boundary along an oblique direction. In this paper, we show the existence of an adapted solution to this system of BSDEs with oblique reflection by the penalization method, the monotone convergence, and the a priori estimates.

math.PR↗