13 citations · 23 across the 9 of their papers we have counts for
9 papers
-Expectation of Distributions
Mingyu Xu, Zuo Quan Xu, Xun Yu Zhou
We define -expectation of a distribution as the infimum of the -expectations of all the terminal random variables sharing that distribution. We present two special cases for…
Skorohod Equation and Reflected Backward Stochastic Differential Equations
Zhongmin Qian, Mingyu Xu
By using the Skorohod equation we derive an iteration procedure which allows us to solve a class of reflected backward stochastic differential equations with non-linear resistance…
Numerical Algorithms and Simulations for Reflected Backward Stochastic Differential Equations with two Continuous Barriers
Mingyu Xu
In this paper we study different algorithms for reflected backward stochastic differential equations (BSDE in short) with two continuous barriers basing on random work framework. W…
Construction and Uniqueness for reflected BSDE under linear increasing condition
G. Jia, Mingyu Xu
In this paper, we study the uniqueness of the solution of reflected BSDE with one or two barriers, under continuous and linear increasing condition of generator . Before that we…
Constrained BSDE and Viscosity Solutions of Variation Inequalities
Shige Peng, Mingyu Xu
In this paper, we study the relation between the smallest -supersolution of constraint backward stochastic differential equation and viscosity solution of constraint semilineare…
Reflected backward SDEs with two barriers under monotonicity and general increasing conditions
Mingyu Xu
In this paper, we prove the existence and uniqueness result of the reflected BSDE with two continuous barriers under monotonicity and general increasing condition on , with Lips…