6 citations · 14 across the 11 of their papers we have counts for
11 papers
Maximum principle for recursive optimal control problem of stochastic delay evolution equations
Guomin Liu, Jian Song, Meng Wang
For a class of stochastic delay evolution equations driven by cylindrical -Wiener process, we study the Pontryagin's maximum principle for the stochastic recursive optimal contr…
Maximum principle for optimal control of stochastic evolution equations with recursive utilities
Guomin Liu, Shanjian Tang
We consider the optimal control problem of stochastic evolution equations in a Hilbert space under a recursive utility, which is described as the solution of a backward stochastic…
Multi-dimensional reflected BSDEs driven by -Brownian motion with diagonal generators
Hanwu Li, Guomin Liu
We consider the well-posedness problem of multi-dimensional reflected backward stochastic differential equations driven by -Brownian motion (-BSDEs) with diagonal generators.…
Exit times for semimartingales under nonlinear expectation
Guomin Liu
Let be the upper expectation of a weakly compact but non-dominated family of probability measures. Assume that is a -dimensional $\mathcal{P…
Multi-dimensional BSDEs driven by -Brownian motion and related system of fully nonlinear PDEs
Guomin Liu
In this paper, we study the well-posedness of multi-dimensional backward stochastic differential equations driven by -Brownian motion (-BSDEs) with diagonal generators, the $…
Girsanov formula for -Brownian motion: the degenerate case
Guomin Liu
In this paper, we prove the Girsanov formula for -Brownian motion without the non-degenerate condition. The proof is based on the perturbation method in the nonlinear setting by…
Local time and Tanaka formula of -martingales
Guomin Liu
The objective of this paper is to study the local time and Tanaka formula of symmetric -martingales. We introduce the local time of -martingales and show that they belong to…
Lévy's martingale characterization and reflection principle of -Brownian motion
Mingshang Hu, Xiaojun Ji, Guomin Liu
In this paper, we obtain Lévy's martingale characterization of -Brownian motion without the nondegenerate condition. Base on this characterization, we prove the reflection princ…
On the exit times of SDEs driven by -Brownian motion
Guomin Liu, Shige Peng, Falei Wang
This paper is devoted to studying the properties of the exit times of stochastic differential equations driven by -Brownian motion (-SDEs). In particular, we prove that the e…
On the strong Markov property for stochastic differential equations driven by -Brownian motion
Mingshang Hu, Xiaojun Ji, Guomin Liu
In this paper we study the stochastic differential equations driven by -Brownian motion (-SDEs for short). We extend the notion of conditional -expectation from determinis…
Product space for two processes with independent increments under nonlinear expectations
Qiang Gao, Mingshang Hu, Xiaojun Ji +1
In this paper, we consider the product space for two processes with independent increments under nonlinear expectations. By introducing a discretization method, we construct a nonl…