12 citations · 32 across the 17 of their papers we have counts for
4 papers · 1 filter
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…