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math.PR2021
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…
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…