4 papers
Limit theorems under nonlinear expectations dominated by sublinear expectations
Xiaojuan Li, Mingshang Hu
In this paper, we obtain a new estimate for uniform integrability under sublinear expectations. Based on this, we establish the limit theorems under nonlinear expectations dominate…
Inequalities for independent random vectors under sublinear expectations
Xiaojuan Li, Mingshang Hu
In this paper, by using the representation theorem for sublinear expectations, we give a simple proof to obtain two inequalities about the sample mean for independent random vector…
Relationship between stochastic maximum principle and dynamic programming principle under convex expectation
Xiaojuan Li, Mingshang Hu
In this paper, we study the relationship between maximum principle (MP) and dynamic programming principle (DPP) for forward-backward control system under consistent convex expectat…
Maximum principle for stochastic optimal control problem under convex expectation
Xiaojuan Li, Mingshang Hu
In this paper, we study a stochastic optimal control problem under a type of consistent convex expectation dominated by G-expectation. By the separation theorem for convex sets, we…