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

DOI10.1186/S13661-017-0896-4MaRDI QIDQ1678076zbMATH OpenOpenAlexWikidataFDO

Authors Haiyang Wang, Zhen Wu

Publication date 14 November 2017

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

Copyright license Creative Commons Attribution 4.0 International

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

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)

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Cites work

• scientific article; zbMATH DE number 1506047 (Why is no real title available?)
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• scientific article; zbMATH DE number 7618596 (Why is no real title available?)
• Backward stochastic differential equations and applications to optimal control
• Backward stochastic differential equations and integral-partial differential equations
• Conjugate convex functions in optimal stochastic control
• Forward-backward stochastic differential equations with Brownian motion and Poisson process
• Fully coupled FBSDE with Brownian motion and Poisson process in stopping time duration
• Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
• On solutions of backward stochastic differential equations with jumps and applications
• On the Separation Theorem of Stochastic Control
• Problem of eigenvalues of stochastic Hamiltonian systems with boundary conditions.

Cited in

(7)

• Existence and multiplicity of solutions for second-order Hamiltonian systems satisfying generalized periodic boundary value conditions at resonance
• Eigenvalues of stochastic Hamiltonian systems with boundary conditions and its application
• 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.
• scientific article; zbMATH DE number 1506043 (Why is no real title available?)

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