6 papers
Optimal control problems of Stochastic Volterra integral equations under Volatility Ambiguity
Bingru Zhao, Mingshang Hu
In this paper, we study the optimal control problems for stochastic Volterra integral equations driven by G-Brownian motion under Volatility Ambiguity. With the help of G-stochasti…
Probabilistic approximation of fully nonlinear second-order PIDEs with convergence rates for the universal robust limit theorem
Lianzi Jiang, Mingshang Hu, Gechun Liang
This paper develops a probabilistic approximation scheme for a class of nonstandard, fully nonlinear second-order partial integro-differential equations (PIDEs) associated with non…
Squared Bessel processes under nonlinear expectation
Mingshang Hu, Renxing Li, Xue Zhang
In this paper, we define the squared G-Bessel process as the square of the modulus of a class of G-Brownian motions and establish that it is the unique solution to a stochastic dif…
Backward Stochastic Volterra integral equations driven by G-Brownian motion
Bingru Zhao, Mingshang Hu
In this paper, we study the Backward stochastic Volterra integral equation driven by G-Brownian motion (G-BSVIE). By adopting a different backward iteration method, we construct th…
-Bessel processes and related properties
Mingshang Hu, Renxing Li
In this paper, we introduce -Bessel processes for a class of -dimensional -Brownian motions. Under the condition of dimensionality , we obtain that the -Be…
Stochastic Volterra integral equations driven by -Brownian motion
Bingru Zhao, Renxing Li, Mingshang Hu
In this paper, we study the stochastic Volterra integral equation driven by -Brownian motion (-SVIE). The existence, uniqueness and two types of continuity of the solution to…