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20152022
most citedBSDEs driven by G-Brownian motion under degenerate case and its application to the regularity of fully nonlinear PDEs

1 citations · 1 across the 7 of their papers we have counts for

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math.OC2022

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…

math.OC2022

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…

math.OC2021

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…