226 citations · 270 across the 12 of their papers we have counts for
12 papers
Mean-reflected -BSDEs with multi-variate constraints
Yiqing Lin, Falei Wang, Hui Zhao
In this paper, we study the multi-dimensional reflected backward stochastic differential equation driven by -Brownian motion (-BSDE) with a multi-variate constraint on the $G…
Maximum principle for stochastic recursive optimal control problem under model uncertainty
Mingshang Hu, Falei Wang
In this paper, we consider a stochastic recursive optimal control problem under model uncertainty. In this framework, the cost function is described by solutions of a family of bac…
Probabilistic approach to singular perturbations of viscosity solutions to nonlinear parabolic PDEs
Mingshang Hu, Falei Wang
In this paper, we prove a convergence theorem for singular perturbations problems for a class of fully nonlinear parabolic partial differential equations with ergodic structures. T…
BSDEs driven by -Brownian motion with uniformly continuous generators
Falei Wang, Guoqiang Zheng
The present paper is devoted to investigating the existence and uniqueness of solutions to a class of non-Lipschitz scalar valued backward stochastic differential equations driven…
Stochastic optimal control problem with infinite horizon driven by G-Brownian motion
Mingshang Hu, Falei Wang
The present paper considers a stochastic optimal control problem, in which the cost function is defined through a backward stochastic differential equation with infinite horizon dr…
Quasi-continuous random variables and processes under the G-expectation framework
Mingshang Hu, Falei Wang, Guoqiang Zheng
In this paper, we first use PDE techniques and probabilistic methods to identify a kind of quasi-continuous random variables. Then we give a characterization of the -integrable…
Invariant and ergodic measures for G-diffusion processes
Mingshang Hu, Hanwu Li, Falei Wang +1
In this paper we study the problems of invariant and ergodic measures under G-expectation framework. In particular, the stochastic differential equations driven by G-Brownian motio…
Ergodic BSDEs driven by G-Brownian motion and their applications
Mingshang Hu, Falei Wang
The present paper considers a new kind of backward stochastic differential equations driven by G-Brownian motion, which is called ergodic G-BSDEs. Firstly, the well-posedness of G-…
Some sample path properties of G-Brownian motion
Falei Wang, Guoqiang Zheng
In this paper, we shall study the basic absolute properties of -Brownian motion, i.e., those properties which hold for q.s. . These include the characterization of the zero s…
Stochastic differential equations driven by G-Brownian motion and ordinary differential equations
Peng Luo, Falei Wang
In this paper, we show that the integration of a stochastic differential equations driven by G-Brownian motion in R can be reduced to the integration of an ordinary differential eq…
BSDE, Path-dependent PDE and Nonlinear Feynman-Kac Formula
Shige Peng, Falei Wang
In this paper, we introduce a type of path-dependent quasilinear (parabolic) partial differential equations in which the (continuous) paths on an interval [0,t] becomes the basic v…
Quadratic BSDEs with convex generators and unbounded terminal conditions
Philippe Briand, Ying Hu
In a previous work, we proved an existence result for BSDEs with quadratic generators with respect to the variable z and with unbounded terminal conditions. However, no uniqueness…