1 citations · 1 across the 8 of their papers we have counts for
8 papers
Forward-backward stochastic differential equations driven by G-Brownian motion under weakly coupling condition
Xiaojuan Li
In this paper, we obtain the existence and uniqueness theorem of -solution for coupled forward-backward stochastic differential equations driven by G-Brownian motion (G-FBSD…
Dynamic programming principle for stochastic optimal control problem under degenerate G-expectation
Xiaojuan Li
In this paper, we study a stochastic optimal control problem under degenerate G-expectation. By using implied partition method, we show that the approximation result for admissible…
Relationship between MP and DPP for stochastic recursive optimal control problem under volatility uncertainty
Xiaojuan Li
In this paper, we study the relationship between maximum principle (MP) and dynamic programming principle (DPP) for stochastic recursive optimal control problem driven by -Brown…
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 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…
Dynamic programming principle and Hamilton-Jacobi-Bellman equation under nonlinear expectation
Mingshang Hu, Shaolin Ji, Xiaojuan Li
In this paper, we study a stochastic recursive optimal control problem in which the value functional is defined by the solution of a backward stochastic differential equation (BSDE…
On the integral representation of g-expectations with terminal constraints
Xiaojuan Li
In this paper, we study the integral representation of g-expectations with two kinds of terminal constraints, and obtain the corresponding necessary and sufficient conditions.