57 citations · 70 across the 31 of their papers we have counts for
6 papers · 1 filter
Sublinear expectation structure under countable state space
Shuzhen Yang, Wenqing Zhang
In this study, we propose the sublinear expectation structure under countable state space. To describe an interesting "nonlinear randomized" trial, based on a convex compact domain…
Solutions for Functional Fully Coupled Forward-Backward Stochastic Differential Equations
Shaolin Ji, Shuzhen Yang
In this paper, we study a functional fully coupled forward-backward stochastic differential equations (FBSDEs). Under a new type of integral Lipschitz and monotonicity conditions,…
The Dupire derivatives and Fréchet derivatives on continuous pathes
Shaolin Ji, Shuzhen Yang
In this paper, we study the relation between Fréchet derivatives and Dupire derivatives, in which the latter are recently introduced by Dupire [4]. After introducing the definition…
Classical Solutions of Path-dependent PDEs and Functional Forward-Backward Stochastic Systems
Shaolin Ji, Shuzhen Yang
In this paper we study the relationship between functional forward-backward stochastic systems and path-dependent PDEs. In the framework of functional Itô calculus, we introduce a…
Non-Markovian Fully Coupled Forward-Backward Stochastic Systems and Classical Solutions of Path-dependent PDEs
Shaolin Ji, Shuzhen Yang
This paper explores the relationship between non-Markovian fully coupled forward-backward stochastic systems and path-dependent PDEs. The definition of classical solution for the p…
An optimal control problem for functional forward-backward stochastic systems and related Path-dependent HJB equations
Shaolin Ji, Shuzhen Yang
In this paper, we study a stochastic recursive optimal control problem in which the system is governed by a functional forward-backward stochastic differential equation. Under stan…