45 citations · 207 across the 43 of their papers we have counts for
43 papers
A BSDE approach to the asymmetric risk-sensitive optimization and its applications
Mingshang Hu, Shaolin Ji, Rundong Xu +1
This paper is devoted to proposing a new asymmetric risk-sensitive criterion involving different risk attitudes toward varying risk sources. The criterion can only be defined throu…
Maximum principle for discrete-time stochastic optimal control problem under distribution uncertainty
Mingshang Hu, Shaolin Ji, Xiaojuan Li
In this paper, we study a discrete-time stochastic optimal control problem under distribution uncertainty with convex control domain. By weak convergence method and Sion's minimax…
BSDEs driven by G-Brownian motion under degenerate case and its application to the regularity of fully nonlinear PDEs
Mingshang Hu, Shaolin Ji, Xiaojuan Li
In this paper, we obtain the existence and uniqueness theorem for backward stochastic differential equation driven by G-Brownian motion (G-BSDE) under degenerate case. Moreover, we…
A universal robust limit theorem for nonlinear Lévy processes under sublinear expectation
Mingshang Hu, Lianzi Jiang, Gechun Liang +1
This article establishes a universal robust limit theorem under a sublinear expectation framework. Under moment and consistency conditions, we show that, for , the i.i.d…
A note on the convergence rate of Peng's law of large numbers under sublinear expectations
Mingshang Hu, Xiaojuan Li, Xinpeng Li
This short note provides a new and simple proof of the convergence rate for Peng's law of large numbers under sublinear expectations, which improves the corresponding results in So…
On the rate of convergence for an -stable central limit theorem under sublinear expectation
Mingshang Hu, Lianzi Jiang, Gechun Liang
In this paper, we propose a monotone approximation scheme for a class of fully nonlinear degenerate partial integro-differential equations (PIDEs) which characterize the nonlinear…