Shanjian Tang

Uniqueness of Adapted Solutions to Scalar BSDEs with Peano-Type Generators

Abstract. A backward stochastic differential equation (BSDE) with a Peano-type generator is known to have infinitely many solutions when the terminal value is vanishing, and it is shown to have possibly multiple solutions even when the terminal value is not vanishing but nonnegat...

Stochastic Maximum Principle for Square-Integrable Optimal Control of Linearly Growing Stochastic Differential Systems Subject to a Quadratically Growing Cost Functional

Abstract. With Ekeland’s variational principle, we prove a general stochastic maximum principle (SMP) for square-integrable optimal control of linearly growing stochastic differential systems subject to a quadratically growing cost functional. The diffusion coefficient is allowed...