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Your search keyword '"Ji, Shaolin"' showing total 7 results
Start Over Author "Ji, Shaolin" Topic 60h10
7 results on '"Ji, Shaolin"'

1. BSDEs driven by G-Brownian motion under degenerate case and its application to the regularity of fully nonlinear PDEs

Author

Hu, Mingshang, Ji, Shaolin, and Li, Xiaojuan

Subjects
Mathematics - Probability, 60H10
Abstract

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 propose a new probabilistic method based on the representation theorem of G-expectation and weak convergence to obtain the regularity of fully nonlinear PDE associated to G-BSDE., Comment: 34 pages

Published
2022

3. Dual method for continuous-time Markowitz's Problems with nonlinear wealth equations

Author

Ji, Shaolin

Subjects
Quantitative Finance - Portfolio Management, Mathematics - Probability, 60H30, 60H10
Abstract

Continuous-time mean-variance portfolio selection model with nonlinear wealth equations and bankruptcy prohibition is investigated by the dual method. A necessary and sufficient condition which the optimal terminal wealth satisfies is obtained through a terminal perturbation technique. It is also shown that the optimal wealth and portfolio is the solution of a forward-backward stochastic differential equation with constraints., Comment: 18 pages

Published
2008

6. Dynamic programming principle for stochastic recursive optimal control problem driven by a [formula omitted]-Brownian motion.

Author

Hu, Mingshang and Ji, Shaolin

Subjects
*DYNAMIC programming, *STOCHASTIC analysis, *RECURSIVE functions, *OPTIMAL control theory, *BROWNIAN motion
Abstract

In this paper, we study a stochastic recursive optimal control problem in which the cost functional is described by the solution of a backward stochastic differential equation driven by G -Brownian motion. Under standard assumptions, we establish the dynamic programming principle and the related fully nonlinear HJB equation in the framework of G -expectation. Finally, we show that the value function is the viscosity solution of the obtained HJB equation. [ABSTRACT FROM AUTHOR]

Published
2017
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7. Backward stochastic differential equations driven by -Brownian motion.

Author

Hu, Mingshang, Ji, Shaolin, Peng, Shige, and Song, Yongsheng

Subjects
*STOCHASTIC differential equations, *WIENER processes, *MARTINGALES (Mathematics), *LIPSCHITZ spaces, *UNIQUENESS (Mathematics), *EXISTENCE theorems
Abstract

Abstract: In this paper, we study the backward stochastic differential equations driven by a -Brownian motion in the following form: where is a decreasing -martingale. Under Lipschitz conditions of and in and , the existence and uniqueness of the solution of the above BSDE in the -framework is proved. [Copyright &y& Elsevier]

Published
2014
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