38 citations
Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.
- Shandong UniversityCN15 papers
- Academy of Mathematics and Systems ScienceCN6 papers
- Qilu University of TechnologyCN6 papers
- Hong Kong Polytechnic UniversityHK4 papers
- Qilu Hospital of Shandong UniversityCN3 papers
- Carleton UniversityCA2 papers
- Centre National de la Recherche ScientifiqueFR2 papers
- Chinese Academy of SciencesCN2 papers
- Fudan UniversityCN2 papers
- Harbin Institute of TechnologyCN2 papers
- Hong Kong University of Science and TechnologyHK2 papers
- Hunan UniversityCN2 papers
23 papers · 1 filter
Solvability of a class of mean-field BSDEs with quadratic growth
Tao Hao, Jiaqiang Wen, Jie Xiong
In this paper, we study the multi-dimensional mean-field backward stochastic differential equations (BSDEs, for short) with quadratic growth. Under small terminal value, the existe…
Forward-backward doubly stochastic systems and classical solutions of path-dependent stochastic PDEs
Yufeng Shi, Jiaqiang Wen, Jie Xiong
In this paper, a class of non-Markovian forward-backward doubly stochastic systems is studied. By using the technique of functional Itô (or path-dependent) calculus, the relationsh…
The minimum mean square estimator of integrable variables under sublinear operators
Shaolin Ji, Chuiliu Kong, Chuanfeng Sun
In this paper, we study the minimum mean square estimator for non-bounded random variables under sublinear operators. The existence and uniqueness of the minimum mean square estima…
Exact tail asymptotics for a three dimensional Brownian-driven tandem queue with intermediate inputs
Hongshuai Dai, Dawson A. Donald, Yiqiang Q. Zhao
The semimartingale reflecting Brownian motion (SRBM) can be a heavy traffic limit for many server queueing networks. Asymptotic properties for stationary probabilities of the SRBM…
Stationary Distributions for Two-Dimensional Sticky Brownian Motions: Exact Tail Asymptotics and Extreme Value Distributions
Hongshuai Dai, Yiqiang Q. Zhao
In this paper, we consider a two-dimensional sticky Brownian motion. Sticky Brownian motions can be viewed as time-changed semimartingale reflecting Brownian motions, which find ap…
Mean-field anticipated BSDEs driven by fractional Brownian motion and related stochastic control problem
Soukaina Douissi, Jiaqiang Wen, Yufeng Shi
In this paper, we focus on mean-field anticipated backward stochastic differential equations (MF-BSDEs, for short) driven by fractional Brownian motion with Hurst parameter H>1/2.…
Maximum principle for a stochastic delayed system involving terminal state constraints
Jiaqiang Wen, Yufeng Shi
We investigate a stochastic optimal control problem where the controlled system is depicted as a stochastic differential delayed equation; however, at the terminal time, the state…
BSDEs and SDEs with time-advanced and -delayed coefficients
Shiqiu Zheng, Gaofeng Zong
This paper introduces a class of backward stochastic differential equations (BSDEs), whose coefficients not only depend on the value of its solutions of the present but also the pa…
Mean-field backward stochastic differential equations driven by fractional Brownian motion
Jiaqiang Wen, Yufeng Shi
In this paper, we focus on the mean-field backward stochastic differential equations (BSDEs) driven by a fractional Brownian motion with Hurst parameter H greater then 1/2. First,…
Anticipative backward stochastic differential equations driven by fractional Brownian motion
Jiaqiang Wen, Yufeng Shi
We study the anticipative backward stochastic differential equations (BSDEs, for short) driven by fractional Brownian motion with Hurst parameter H greater than 1/2. The stochastic…
Stein Type Characterization for -normal Distributions
Mingshang Hu, Shige Peng, Yongsheng Song
In this article, we provide a Stein type characterization for -normal distributions: Let be a sublinear expectati…
Convergence rates in precise asymptotics for a kind of complete moment convergence
Lingtao Kong, Hongshuai Dai
In Liu and Lin (Statist. Probab. Letters, 2006), they introduced a kind of complete moment convergence which includes complete convergence as a special case. Inspired by the study…
Multidimensional BSDEs with uniformly continuous coefficients: the general result
Min Li, Yufeng Shi
In this paper, by introducing a new notion of envelope of the stochastic process, we construct a family of random differential equations whose solutions can be viewed as solutions…
Convergence rate in precise asymptotics for Davis law of large numbers
Lingtao Kong
Let be a sequence of i.i.d. random variables with partial sums . Based on the classical Baum-Katz theorem, a paper by Heyde in 1975 initiated the…
Anticipating backward stochastic Volterra integral equations
Jiaqiang Wen, Yufeng Shi
We introduce and study a new type of integral equations called anticipating backward stochastic Volterra integral equations (anticipating BSVIEs). In these equations the generator…
Quasi-continuous random variables and processes under the G-expectation framework
Mingshang Hu, Falei Wang, Guoqiang Zheng
In this paper, we first use PDE techniques and probabilistic methods to identify a kind of quasi-continuous random variables. Then we give a characterization of the -integrable…
Limit theorems for functionals of Gaussian vectors
Hongshuai Dai, Guangjun Shen, Lingtao Kong
Operator self-similar processes, as an extension of self-similar processes, have been studied extensively. In this work, we study limit theorems for functionals of Gaussian vectors…
Exact tail asymptotics for a discrete-time preemptive priority queue
Yang Song, Zaiming Liu, Hongshuai Dai
In this paper, we consider a discrete-time preemptive priority queue with different service rates for two classes of customers, one with high-priority and the other with low-priori…
Extended Conditional G-Expectations and Related Stopping Times
Mingshang Hu, Shige Peng
In this paper we extend the definition of time conditional G-expectations to a larger domain on which the dynamical consistency still holds. In fact w…
Reflected Backward Stochastic Difference Equations and Optimal Stopping Problems under g-expectation
Lifen An, Samuel N. Cohen, Shaolin Ji
In this paper, we study reflected backward stochastic difference equations (RBSDEs for short) with finitely many states in discrete time. The general existence and uniqueness resul…
G-Expectation Weighted Sobolev Spaces, Backward SDE and Path Dependent PDE
Shige Peng, Yongsheng Song
We introduce a new notion of G-expectation-weighted Sobolev spaces, or in short, G-Sobolev spaces, and prove that a backward SDEs driven by G-Brownian motion are in fact path depen…
Approximation to multifractional Riemann-Liouville Brownian sheet
Hongshuai Dai
In this paper, we first introduce multifrational Riemann-Liouville Brownian sheets. Then, we show a result of approximation in law of the multifractional Riemann-Liouville Brownian…
Comparison Theorem, Feynman-Kac Formula and Girsanov Transformation for BSDEs Driven by G-Brownian Motion
Mingshang Hu, Shaolin Ji, Shige Peng +1
In this paper, we study comparison theorem, nonlinear Feynman-Kac formula and Girsanov transformation of the BSDE driven by a G-Brownian motion.