45 citations · 207 across the 43 of their papers we have counts for
4 papers · 1 filter
Dynamic Programming Principle for Stochastic Recursive Optimal Control Problem under G-framework
Mingshang Hu, Shaolin Ji
In this paper, we study a stochastic recursive optimal control problem in which the cost functional is described by the solution of a backward stochastic differential equation driv…
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-…