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math.PR2013★ 14 cited
On exponential stability for stochastic differential equations disturbed by G-Brownian motion
Weiyin Fei, Chen Fei
We first introduce the calculus of Peng's G-Brownian motion on a sublinear expectation space . Then we investigate the exponential stability of pat…
math.OC2013★ 10 cited
Optimal stochastic control and optimal consumption and portfolio with G-Brownian motion
Weiyin Fei, Chen Fei
By the calculus of Peng's G-sublinear expectation and G-Brownian motion on a sublinear expectation space , we first set up an optimality principle…