{"id":"https://openalex.org/W1896701921","doi":"https://doi.org/10.1137/130942681","title":"Stochastic Control Representations for Penalized Backward Stochastic Differential Equations","display_name":"Stochastic Control Representations for Penalized Backward Stochastic Differential Equations","publication_year":2015,"publication_date":"2015-01-01","ids":{"openalex":"https://openalex.org/W1896701921","doi":"https://doi.org/10.1137/130942681","mag":"1896701921"},"language":"en","primary_location":{"id":"doi:10.1137/130942681","is_oa":false,"landing_page_url":"https://doi.org/10.1137/130942681","pdf_url":null,"source":{"id":"https://openalex.org/S897311980","display_name":"SIAM Journal on Control and Optimization","issn_l":"0363-0129","issn":["0363-0129","1095-7138"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Control and Optimization","raw_type":"journal-article"},"type":"article","indexed_in":["arxiv","crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://kclpure.kcl.ac.uk/portal/en/publications/cd5880af-4684-4b47-aef8-d7f2e9b112fa","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5045178156","display_name":"Gechun Liang","orcid":"https://orcid.org/0000-0003-0752-0773"},"institutions":[],"countries":[],"is_corresponding":true,"raw_author_name":"Gechun Liang","raw_affiliation_strings":["Mathematics"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Mathematics","institution_ids":[]}]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":0,"corresponding_author_ids":["https://openalex.org/A5045178156"],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":2.7726,"has_fulltext":true,"cited_by_count":16,"citation_normalized_percentile":{"value":0.90547838,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":98},"biblio":{"volume":"53","issue":"3","first_page":"1440","last_page":"1463"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9997000098228455,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9997000098228455,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12011","display_name":"Insurance, Mortality, Demography, Risk Management","score":0.9923999905586243,"subfield":{"id":"https://openalex.org/subfields/3317","display_name":"Demography"},"field":{"id":"https://openalex.org/fields/33","display_name":"Social Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9595999717712402,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.8469207286834717},{"id":"https://openalex.org/keywords/stochastic-differential-equation","display_name":"Stochastic differential equation","score":0.7962367534637451},{"id":"https://openalex.org/keywords/representation","display_name":"Representation (politics)","score":0.7091125845909119},{"id":"https://openalex.org/keywords/optimal-stopping","display_name":"Optimal stopping","score":0.6287088990211487},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.5736310482025146},{"id":"https://openalex.org/keywords/stochastic-control","display_name":"Stochastic control","score":0.5174808502197266},{"id":"https://openalex.org/keywords/constraint","display_name":"Constraint (computer-aided design)","score":0.5161929726600647},{"id":"https://openalex.org/keywords/optimal-control","display_name":"Optimal control","score":0.5084580183029175},{"id":"https://openalex.org/keywords/stopping-time","display_name":"Stopping time","score":0.50592440366745},{"id":"https://openalex.org/keywords/convergence","display_name":"Convergence (economics)","score":0.4756821393966675},{"id":"https://openalex.org/keywords/weak-convergence","display_name":"Weak convergence","score":0.4318333864212036},{"id":"https://openalex.org/keywords/poisson-distribution","display_name":"Poisson distribution","score":0.417472779750824},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.40874457359313965},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.12665683031082153},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.059118568897247314}],"concepts":[{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.8469207286834717},{"id":"https://openalex.org/C51955184","wikidata":"https://www.wikidata.org/wiki/Q1545585","display_name":"Stochastic differential equation","level":2,"score":0.7962367534637451},{"id":"https://openalex.org/C2776359362","wikidata":"https://www.wikidata.org/wiki/Q2145286","display_name":"Representation (politics)","level":3,"score":0.7091125845909119},{"id":"https://openalex.org/C99414536","wikidata":"https://www.wikidata.org/wiki/Q7098950","display_name":"Optimal stopping","level":2,"score":0.6287088990211487},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.5736310482025146},{"id":"https://openalex.org/C170131372","wikidata":"https://www.wikidata.org/wiki/Q7617811","display_name":"Stochastic control","level":3,"score":0.5174808502197266},{"id":"https://openalex.org/C2776036281","wikidata":"https://www.wikidata.org/wiki/Q48769818","display_name":"Constraint (computer-aided design)","level":2,"score":0.5161929726600647},{"id":"https://openalex.org/C91575142","wikidata":"https://www.wikidata.org/wiki/Q1971426","display_name":"Optimal control","level":2,"score":0.5084580183029175},{"id":"https://openalex.org/C99888217","wikidata":"https://www.wikidata.org/wiki/Q1288707","display_name":"Stopping time","level":2,"score":0.50592440366745},{"id":"https://openalex.org/C2777303404","wikidata":"https://www.wikidata.org/wiki/Q759757","display_name":"Convergence (economics)","level":2,"score":0.4756821393966675},{"id":"https://openalex.org/C57945734","wikidata":"https://www.wikidata.org/wiki/Q7977941","display_name":"Weak convergence","level":3,"score":0.4318333864212036},{"id":"https://openalex.org/C100906024","wikidata":"https://www.wikidata.org/wiki/Q205692","display_name":"Poisson distribution","level":2,"score":0.417472779750824},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.40874457359313965},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.12665683031082153},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.059118568897247314},{"id":"https://openalex.org/C2524010","wikidata":"https://www.wikidata.org/wiki/Q8087","display_name":"Geometry","level":1,"score":0.0},{"id":"https://openalex.org/C76178495","wikidata":"https://www.wikidata.org/wiki/Q4808784","display_name":"Asset (computer security)","level":2,"score":0.0},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.0},{"id":"https://openalex.org/C94625758","wikidata":"https://www.wikidata.org/wiki/Q7163","display_name":"Politics","level":2,"score":0.0},{"id":"https://openalex.org/C17744445","wikidata":"https://www.wikidata.org/wiki/Q36442","display_name":"Political science","level":0,"score":0.0},{"id":"https://openalex.org/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","level":1,"score":0.0},{"id":"https://openalex.org/C38652104","wikidata":"https://www.wikidata.org/wiki/Q3510521","display_name":"Computer security","level":1,"score":0.0},{"id":"https://openalex.org/C50522688","wikidata":"https://www.wikidata.org/wiki/Q189833","display_name":"Economic growth","level":1,"score":0.0}],"mesh":[],"locations_count":5,"locations":[{"id":"doi:10.1137/130942681","is_oa":false,"landing_page_url":"https://doi.org/10.1137/130942681","pdf_url":null,"source":{"id":"https://openalex.org/S897311980","display_name":"SIAM Journal on Control and Optimization","issn_l":"0363-0129","issn":["0363-0129","1095-7138"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Control and Optimization","raw_type":"journal-article"},{"id":"pmh:oai:kclpure.kcl.ac.uk:openaire/cd5880af-4684-4b47-aef8-d7f2e9b112fa","is_oa":true,"landing_page_url":"https://kclpure.kcl.ac.uk/portal/en/publications/cd5880af-4684-4b47-aef8-d7f2e9b112fa","pdf_url":null,"source":{"id":"https://openalex.org/S4306400216","display_name":"Research Portal (King's College London)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I183935753","host_organization_name":"King's College London","host_organization_lineage":["https://openalex.org/I183935753"],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Liang, G 2015, 'Stochastic Control Representations for Penalized Backward Stochastic Differential Equations', SIAM JOURNAL ON CONTROL AND OPTIMIZATION, vol. 53, no. 3, pp. 1440\u20131463. https://doi.org/10.1137/130942681","raw_type":"info:eu-repo/semantics/article"},{"id":"pmh:oai:wrap.warwick.ac.uk:117865","is_oa":false,"landing_page_url":"http://wrap.warwick.ac.uk/117865/1/WRAP-Stochastic-control-representations-penalized-stochastic-Liang-2015.pdf","pdf_url":"http://wrap.warwick.ac.uk/117865/1/WRAP-Stochastic-control-representations-penalized-stochastic-Liang-2015.pdf","source":{"id":"https://openalex.org/S4306400665","display_name":"Warwick Research Archive Portal (University of Warwick)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I39555362","host_organization_name":"University of Warwick","host_organization_lineage":["https://openalex.org/I39555362"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"acceptedVersion","is_accepted":true,"is_published":false,"raw_source_name":"","raw_type":"Journal Article"},{"id":"pmh:oai:arXiv.org:1302.0480","is_oa":true,"landing_page_url":"http://arxiv.org/abs/1302.0480","pdf_url":"https://arxiv.org/pdf/1302.0480","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},{"id":"pmh:oai:CiteSeerX.psu:10.1.1.742.9593","is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.742.9593","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"http://arxiv.org/pdf/1302.0480.pdf","raw_type":"text"}],"best_oa_location":{"id":"pmh:oai:kclpure.kcl.ac.uk:openaire/cd5880af-4684-4b47-aef8-d7f2e9b112fa","is_oa":true,"landing_page_url":"https://kclpure.kcl.ac.uk/portal/en/publications/cd5880af-4684-4b47-aef8-d7f2e9b112fa","pdf_url":null,"source":{"id":"https://openalex.org/S4306400216","display_name":"Research Portal (King's College London)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I183935753","host_organization_name":"King's College London","host_organization_lineage":["https://openalex.org/I183935753"],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Liang, G 2015, 'Stochastic Control Representations for Penalized Backward Stochastic Differential Equations', SIAM JOURNAL ON CONTROL AND OPTIMIZATION, vol. 53, no. 3, pp. 1440\u20131463. https://doi.org/10.1137/130942681","raw_type":"info:eu-repo/semantics/article"},"sustainable_development_goals":[{"score":0.5899999737739563,"id":"https://metadata.un.org/sdg/16","display_name":"Peace, Justice and strong institutions"}],"awards":[],"funders":[{"id":"https://openalex.org/F4320320279","display_name":"University of Warwick","ror":"https://ror.org/01a77tt86"},{"id":"https://openalex.org/F4320320285","display_name":"King's College London","ror":"https://ror.org/0220mzb33"},{"id":"https://openalex.org/F4320320290","display_name":"University of Oxford","ror":"https://ror.org/052gg0110"}],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":30,"referenced_works":["https://openalex.org/W567337522","https://openalex.org/W577409191","https://openalex.org/W1513091520","https://openalex.org/W1546689893","https://openalex.org/W1846487531","https://openalex.org/W1968953731","https://openalex.org/W1986374674","https://openalex.org/W1999613271","https://openalex.org/W2002753268","https://openalex.org/W2003941024","https://openalex.org/W2052101178","https://openalex.org/W2071802429","https://openalex.org/W2090929784","https://openalex.org/W2092772185","https://openalex.org/W2093068555","https://openalex.org/W2093342865","https://openalex.org/W2099342208","https://openalex.org/W2108101768","https://openalex.org/W2119993310","https://openalex.org/W2126936266","https://openalex.org/W2128802446","https://openalex.org/W2140171702","https://openalex.org/W2146122440","https://openalex.org/W2152092364","https://openalex.org/W2157883119","https://openalex.org/W2592216957","https://openalex.org/W2989645163","https://openalex.org/W3099332954","https://openalex.org/W3122821172","https://openalex.org/W3124366669"],"related_works":["https://openalex.org/W2357686002","https://openalex.org/W2388423988","https://openalex.org/W2060950178","https://openalex.org/W2379449944","https://openalex.org/W2357863468","https://openalex.org/W3126114984","https://openalex.org/W2767258356","https://openalex.org/W2002031424","https://openalex.org/W1497467172","https://openalex.org/W2047790979"],"abstract_inverted_index":{"This":[0],"paper":[1,68],"shows":[2],"that":[3,41],"the":[4,19,36,42,57,63,86],"penalized":[5,58,97],"backward":[6],"stochastic":[7,91],"differential":[8],"equation":[9],"(BSDE),":[10],"which":[11],"is":[12,40,44],"often":[13],"used":[14],"to":[15,46,70],"approximate":[16],"and":[17,28,79,89],"solve":[18],"corresponding":[20,96],"reflected":[21,77,80],"BSDE,":[22],"admits":[23],"both":[24],"optimal":[25,29,37,64],"stopping":[26,38,65],"representation":[27,39],"control":[30,92],"representation.":[31,66],"The":[32,53,67],"new":[33],"feature":[34],"of":[35,56,73],"player":[43],"allowed":[45],"stop":[47],"at":[48],"exogenous":[49],"Poisson":[50],"arrival":[51],"times.":[52],"convergence":[54],"rate":[55],"BSDE":[59,78,81],"then":[60],"follows":[61],"from":[62],"applies":[69],"two":[71],"classes":[72],"equations,":[74],"namely,":[75],"multidimensional":[76],"with":[82],"a":[83],"constraint":[84],"on":[85],"hedging":[87],"part,":[88],"gives":[90],"representations":[93],"for":[94],"their":[95],"equations.":[98]},"counts_by_year":[{"year":2025,"cited_by_count":1},{"year":2024,"cited_by_count":2},{"year":2023,"cited_by_count":1},{"year":2020,"cited_by_count":2},{"year":2019,"cited_by_count":4},{"year":2018,"cited_by_count":1},{"year":2017,"cited_by_count":1},{"year":2016,"cited_by_count":3},{"year":2015,"cited_by_count":1}],"updated_date":"2026-08-26T07:47:46.906454","created_date":"2025-10-10T00:00:00"}