45 citations · 207 across the 43 of their papers we have counts for
6 papers · 1 filter
Discrete-time approximation for backward stochastic differential equations driven by -Brownian motion
Lianzi Jiang, Mingshang Hu
In this paper, we study the discrete-time approximation schemes for a class of backward stochastic differential equations driven by -Brownian motion (-BSDEs) which correspond…
Maximum principle for stochastic recursive optimal control problem under model uncertainty
Mingshang Hu, Falei Wang
In this paper, we consider a stochastic recursive optimal control problem under model uncertainty. In this framework, the cost function is described by solutions of a family of bac…
Explicit positive solutions to -heat equations and the application to -capacities
Mingshang Hu, Yifan Sun
In this paper, we study a class of explicit positive solutions to -heat equations by solving second order nonlinear ordinary differential equations. Based on the positive soluti…
Explicit -Schemes for Solving Anticipated Backward Stochastic Differential Equations
Mingshang Hu, Lianzi Jiang
In this paper, a class of stable explicit -schemes are proposed for solving anticipated backward stochastic differential equations (anticipated BSDEs) which generator not only c…
Probabilistic approach to singular perturbations of viscosity solutions to nonlinear parabolic PDEs
Mingshang Hu, Falei Wang
In this paper, we prove a convergence theorem for singular perturbations problems for a class of fully nonlinear parabolic partial differential equations with ergodic structures. T…
Linear quadratic problems for fully coupled forward-backward stochastic control systems
Mingshang Hu, Shaolin Ji, Xiaole Xue
This paper is concerned with optimal control of stochastic fully coupled forward-backward linear quadratic (FBLQ) problems with indefinite control weight costs. In order to obtain…