This paper considers a mean-field type stochastic control problem where the dynamics is governed by a forward and backward stochastic differential equation (SDE) driven by Lévy processes and the information avail...This paper considers a mean-field type stochastic control problem where the dynamics is governed by a forward and backward stochastic differential equation (SDE) driven by Lévy processes and the information available to the controller is possibly less than the overall information. All the system coefficients and the objective performance functional are allowed to be random, possibly non-Markovian. Malliavin calculus is employed to derive a maximum principle for the optimal control of such a system where the adjoint process is explicitly expressed.展开更多
The authors prove a sufficient stochastic maximum principle for the optimal control of a forward-backward Markov regime switching jump diffusion system and show its connection to dynamic programming principle. The res...The authors prove a sufficient stochastic maximum principle for the optimal control of a forward-backward Markov regime switching jump diffusion system and show its connection to dynamic programming principle. The result is applied to a cash flow valuation problem with terminal wealth constraint in a financial market. An explicit optimal strategy is obtained in this example.展开更多
综合应用冲激滤波器、改进的前向后向(forward and backward,FAB)扩散滤波器和全变差(total-variation,TV)扩散算法,提出一种双正交映射约束的混合偏微分方程扩散图像放大算法。改进的FAB滤波器能够很好地增强图像的小边缘,参数约束的...综合应用冲激滤波器、改进的前向后向(forward and backward,FAB)扩散滤波器和全变差(total-variation,TV)扩散算法,提出一种双正交映射约束的混合偏微分方程扩散图像放大算法。改进的FAB滤波器能够很好地增强图像的小边缘,参数约束的冲激滤波器可增强图像的强边缘,基于水平集方法实现的TV扩散可以消除边缘的锯齿波,使边缘光滑,所提算法综合以上优点。利用退化模型的低通滤波器的双正交滤波器得到一个空域双正交映射,放大图像完全满足退化模型,使放大图像对于退化模型可逆。仿真实验表明,与其他算法相比,所提算法有较好的性能,得到的放大图像更加自然,在弱边缘和中等强度边缘都有更好的视觉效果。展开更多
文摘This paper considers a mean-field type stochastic control problem where the dynamics is governed by a forward and backward stochastic differential equation (SDE) driven by Lévy processes and the information available to the controller is possibly less than the overall information. All the system coefficients and the objective performance functional are allowed to be random, possibly non-Markovian. Malliavin calculus is employed to derive a maximum principle for the optimal control of such a system where the adjoint process is explicitly expressed.
基金supported by the National Natural Science Foundation of China(No.61573217)the 111 Project(No.B12023)the National High-level Personnel of Special Support Program and the Chang Jiang Scholar Program of the Ministry of Education of China
文摘The authors prove a sufficient stochastic maximum principle for the optimal control of a forward-backward Markov regime switching jump diffusion system and show its connection to dynamic programming principle. The result is applied to a cash flow valuation problem with terminal wealth constraint in a financial market. An explicit optimal strategy is obtained in this example.
文摘综合应用冲激滤波器、改进的前向后向(forward and backward,FAB)扩散滤波器和全变差(total-variation,TV)扩散算法,提出一种双正交映射约束的混合偏微分方程扩散图像放大算法。改进的FAB滤波器能够很好地增强图像的小边缘,参数约束的冲激滤波器可增强图像的强边缘,基于水平集方法实现的TV扩散可以消除边缘的锯齿波,使边缘光滑,所提算法综合以上优点。利用退化模型的低通滤波器的双正交滤波器得到一个空域双正交映射,放大图像完全满足退化模型,使放大图像对于退化模型可逆。仿真实验表明,与其他算法相比,所提算法有较好的性能,得到的放大图像更加自然,在弱边缘和中等强度边缘都有更好的视觉效果。
