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10 papers · 2 filters
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.
Martingale Problem under Nonlinear Expectations
Xin Guo, Chen Pan, Shige Peng
We formulate and solve the martingale problem in a nonlinear expectation space. Unlike the classical work of Stroock and Varadhan (1969) where the linear operator in the associated…
Reflected Mean-Field Backward Stochastic Differential Equations. Approximation and Associated Nonlinear PDEs
Juan Li
Mathematical mean-field approaches have been used in many fields, not only in Physics and Chemistry, but also recently in Finance, Economics, and Game Theory. In this paper we will…
Backward Stochastic Differential Equations Driven by G-Brownian Motion
Mingshang Hu, Shaolin Ji, Shige Peng +1
In this paper, we study backward stochastic differential equations driven by a G-Brownian motion. The solution of such new type of BSDE is a triple (Y,Z,K) where K is a decreasing…
Non-Markovian Fully Coupled Forward-Backward Stochastic Systems and Classical Solutions of Path-dependent PDEs
Shaolin Ji, Shuzhen Yang
This paper explores the relationship between non-Markovian fully coupled forward-backward stochastic systems and path-dependent PDEs. The definition of classical solution for the p…
A stochastic approach to a new type of parabolic variational inequalities
Tianyang Nie
We study the following quasilinear partial differential equation with two subdifferential operators: $${\frac{\partial u}{\partial s}(s,x)} + (\mathcal{L}u)(s,x,u(s,x),(\nabla u(s,…