4 papers
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…
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…
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…
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…