7 citations · 18 across the 9 of their papers we have counts for
8 papers · 1 filter
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…
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…