57 citations · 70 across the 31 of their papers we have counts for
6 papers · 1 filter
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,…
A stochastic recursive optimal control problem under the G-expectation framework
Mingshang Hu, Shaolin Ji, Shuzhen Yang
In this paper, we study a stochastic recursive optimal control problem in which the objective functional is described by the solution of a backward stochastic differential equation…
Sublinear expectation linear regression
Lu Lin, Yufeng Shi, Xin Wang +1
Nonlinear expectation, including sublinear expectation as its special case, is a new and original framework of probability theory and has potential applications in some scientific…
A New Distribution-Random Limit Normal Distribution
Xiaolin Gong, Shuzhen Yang
This paper introduces a new distribution to improve tail risk modeling. Based on the classical normal distribution, we define a new distribution by a series of heat equations. Then…
The Numerical Properties of G-heat equation and Related Application
Xiaolin Gong, Shuzhen Yang
In this paper, we consider the numerical convergence of G-heat equation which was first introduced by Peng. The G-heat equation extends the classical heat equation with uncertain v…
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…