Eigenvalues of stochastic Hamiltonian systems driven by Poisson process with boundary conditions

DOI10.1186/S13661-017-0896-4zbMATH Open1382.34026OpenAlexW2767288780WikidataQ59527406 ScholiaQ59527406MaRDI QIDQ1678076FDOQ1678076

Authors: Haiyang Wang, Zhen Wu 

Publication date: 14 November 2017

Published in: Boundary Value Problems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1186/s13661-017-0896-4

Recommendations

• Eigenvalue problem of doubly stochastic Hamiltonian systems with boundary conditions
• A note on ``Problem of eigenvalues of stochastic Hamiltonian systems with boundary conditions
• Publication:4504537
• Problem of eigenvalues of stochastic Hamiltonian systems with boundary conditions.
• Discrete linear Hamiltonian eigenvalue problems

zbMATH Keywords

Poisson processRiccati equationseigenvalues and eigenfunctionsstochastic Hamiltonian systemsdual transformationstatistic periodicity

Mathematics Subject Classification ID

Boundary eigenvalue problems for ordinary differential equations (34B09) Ordinary differential equations and systems with randomness (34F05) General spectral theory of ordinary differential operators (34L05)

Cites Work

• Conjugate convex functions in optimal stochastic control
• Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
• Backward stochastic differential equations and integral-partial differential equations
• On the Separation Theorem of Stochastic Control
• Problem of eigenvalues of stochastic Hamiltonian systems with boundary conditions.
• Fully coupled FBSDE with Brownian motion and Poisson process in stopping time duration
• Backward stochastic differential equations and applications to optimal control
• On solutions of backward stochastic differential equations with jumps and applications
• Forward-backward stochastic differential equations with Brownian motion and Poisson process
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)

Cited In (7)

• Eigenvalues of stochastic Hamiltonian systems with boundary conditions and its application
• Existence and multiplicity of solutions for second-order Hamiltonian systems satisfying generalized periodic boundary value conditions at resonance
• Pareto-optimal reinsurance revisited: a two-stage optimisation procedure approach
• Eigenvalue problem of doubly stochastic Hamiltonian systems with boundary conditions
• A note on ``Problem of eigenvalues of stochastic Hamiltonian systems with boundary conditions
• Problem of eigenvalues of stochastic Hamiltonian systems with boundary conditions.
• Title not available (Why is that?)

This page was built for publication: Eigenvalues of stochastic Hamiltonian systems driven by Poisson process with boundary conditions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1678076)