484 citations
Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.
- Shandong Academy of SciencesCN58 papers
- Shandong UniversityCN15 papers
- Shandong Normal UniversityCN13 papers
- National University of SingaporeSG9 papers
- University of MacauMO8 papers
- Changchun Institute of TechnologyCN7 papers
- Institute of Oceanographic InstrumentationCN7 papers
- Deakin UniversityAU6 papers
- Shandong University of Finance and EconomicsCN6 papers
- Chinese Academy of SciencesCN5 papers
- Monash UniversityAU5 papers
- Northeast Electric Power UniversityCN5 papers
5 papers · 1 filter
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…
On 3-algebra and integrable system
Min-Ru Chen, Shi-Kun Wang, Xiao-Li Wang +2
We construct the 3-algebra and investigate the relation between this infinite-dimensional 3-algebra and the integrable systems. Since the 3-algebra wi…
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…
A stochastic recursive optimal control problem under the G-expectation framework
Mingshang Hu, Shaolin Ji, Shuzhen Yang
In this paper, we study a stochastic recursive optimal control problem in which the objective functional is described by the solution of a backward stochastic differential equation…
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…