12 citations · 32 across the 17 of their papers we have counts for
18 papers
Backward Stochastic Differential Equations with Double Mean Reflections
Hanwu Li
In this paper, we study the backward stochastic differential equation (BSDE) with two nonlinear mean reflections, which means that the constraints are imposed on the distribution o…
The Skorokhod problem with two nonlinear constraints
Hanwu Li
In this paper, we study the Skorokhod problem with two constraints, where the constraints are in a nonlinear fashion. We prove the existence and uniqueness of the solution and also…
Stochastic Differential Equations Driven by G-Brownian Motion with Mean Reflections
Hanwu Li, Ning Ning
In this paper, we study the mean reflected stochastic differential equations driven by G-Brownian motion, where the constraint depends on the expectation of the solution rather tha…
Reflected BSDEs driven by G-Brownian motion with non-Lipschitz coefficients
Hanwu Li
In this paper, we consider the reflected backward stochastic differential equations driven by G-Brownian motion (reflected G-BSDEs) whose coefficients satisfy the beta-order Mao's…
Optimal Consumption for Recursive Preferences with Local Substitution -- the Case of Certainty
Hanwu Li, Frank Riedel, Shuzhen Yang
We characterize optimal consumption policies in a recursive intertemporal utility framework with local substitution. We establish existence and uniqueness and a version of the Kuhn…
The Cox-Ingersoll-Ross process under volatility uncertainty
Bahar Akhtari, Hanwu Li
Due to the importance of the Cox-Ingersoll-Ross process in different areas of finance, a broad spectrum of studies and investigations on this model have been carried out. In case o…
Stochastic representation under g-expectation and applications: the discrete time case
Miryana Grigorova, Hanwu Li
In this paper, we address the stochastic representation problem in discrete time under (non-linear) g-expectation. We establish existence and uniqueness of the solution, as well as…
Multi-dimensional reflected BSDEs driven by -Brownian motion with diagonal generators
Hanwu Li, Guomin Liu
We consider the well-posedness problem of multi-dimensional reflected backward stochastic differential equations driven by -Brownian motion (-BSDEs) with diagonal generators.…
Optimal Consumption with Intertemporal Substitution under Knightian Uncertainty
Giorgio Ferrari, Hanwu Li, Frank Riedel
We study an intertemporal consumption and portfolio choice problem under Knightian uncertainty in which agent's preferences exhibit local intertemporal substitution. We also allow…
A Knightian Irreversible Investment Problem
Giorgio Ferrari, Hanwu Li, Frank Riedel
In this paper, we study an irreversible investment problem under Knightian uncertainty. In a general framework, in which Knightian uncertainty is modeled through a set of multiple…
Optimal Multiple Stopping Problems under g-expectation
Hanwu Li
In this paper, we study the optimal multiple stopping problem under Knightian uncertainty both under discrete-time case and continuous-time case. The Knightian uncertainty is model…
Backward Stochastic Differential Equations Driven by G-Brownian Motion with Double Reflections
Hanwu Li, Yongsheng Song
In this paper, we study the reflected backward stochastic differential equations driven by G-Brownian motion with two reflecting obstacles, which means that the solution lies betwe…
Optimal Multiple Stopping Problem under Nonlinear Expectation
Hanwu Li
In this paper, we study the optimal multiple stopping problem under the filtration consistent nonlinear expectations. The reward is given by a set of random variables satisfying so…
Optimal Stopping under G-expectation
Hanwu Li
We develop a theory of optimal stopping problems under G-expectation framework. We first define a new kind of random times, called G-stopping times, which is suitable for this prob…
Reflected BSDE driven by G-Brownian motion with an upper obstacle
Hanwu Li, Shige Peng
In this paper, we study the reflected backward stochastic differential equation driven by G-Brownian motion (reflected G-BSDE for short) with an upper obstacle. The existence is pr…
Reflected Solutions of BSDEs Driven by G-Brownian Motion
Hanwu Li, Shige Peng
In this paper, we study the reflected solutions of one-dimensional backward stochastic differential equations driven by G-Brownian motion (RGBSDE for short). The reflection keeps t…
Supermartingale Decomposition Theorem under G-expectation
Hanwu Li, Shige Peng, Yongsheng Song
The objective of this paper is to establish the decomposition theorem for supermartingales under the -framework. We first introduce a -nonlinear expectation via a kind of …
Invariant and ergodic measures for G-diffusion processes
Mingshang Hu, Hanwu Li, Falei Wang +1
In this paper we study the problems of invariant and ergodic measures under G-expectation framework. In particular, the stochastic differential equations driven by G-Brownian motio…