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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…