2 papers
math.OC2017
New Approach to General Nonlinear Discrete-Time Stochastic Control
Xiangyun Lin, Tianliang Zhang, Weihai Zhang +1
In this paper, a new approach based on convex analysis is introduced to solve the problem for discrete-time nonlinear stochastic systems. A stochastic version of bounded…
math.PR2014
Lyapunov-type conditions and stochastic differential equations driven by -Brownian motion
Xinpeng Li, Xiangyun Lin, Yiqing Lin
This paper studies the solvability and the stability of stochastic differential equations driven by G-Brownian motion (GSDEs). In particular, the existence and uniqueness of the so…