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科研机构
山东大学 [14]
数学与系统科学研究院 [1]
内容类型
期刊论文 [15]
发表日期
2019 [1]
2018 [3]
2017 [3]
2016 [2]
2015 [2]
2014 [2]
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Levy's martingale characterization and reflection principle of G-Brownian motion
期刊论文
JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS, 2019, 卷号: 480, 期号: 2
作者:
Hu, Mingshang
;
Ji, Xiaojun
;
Liu, Guomin
收藏
  |  
浏览/下载:24/0
  |  
提交时间:2019/12/11
G-expectation
G-Brownian motion
Martingale characterization
Reflection principle
STOCHASTIC OPTIMAL CONTROL PROBLEM WITH INFINITE HORIZON DRIVEN BY G-BROWNIAN MOTION
期刊论文
ESAIM-CONTROL OPTIMISATION AND CALCULUS OF VARIATIONS, 2018, 卷号: 24, 期号: 2, 页码: 873-899
作者:
Hu, Mingshang
;
Wang, Falei
收藏
  |  
浏览/下载:7/0
  |  
提交时间:2019/12/11
G-Brownian motion
backward stochastic differential equations
stochastic optimal control
dynamic programming principle
A GLOBAL STOCHASTIC MAXIMUM PRINCIPLE FOR FULLY COUPLED FORWARD-BACKWARD STOCHASTIC SYSTEMS
期刊论文
SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 2018, 卷号: 56, 期号: 6, 页码: 4309-4335
作者:
Hu, Mingshang
;
Ji, Shaolin
;
Xue, Xiaole
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  |  
浏览/下载:9/0
  |  
提交时间:2019/12/11
forward-backward stochastic differential equations
nonconvex control
domain
stochastic recursive optimal control
maximum principle
spike
variation
Ergodic BSDEs driven by G-Brownian motion and applications
期刊论文
STOCHASTICS AND DYNAMICS, 2018, 卷号: 18, 期号: 6
作者:
Hu, Mingshang
;
Wang, Falei
收藏
  |  
浏览/下载:6/0
  |  
提交时间:2019/12/11
(Formula presented.)-Brownian motion
ergodic (Formula presented.)-BSDEs
ergodic elliptic PDEs
Stein type characterization for G-normal distributions
期刊论文
ELECTRONIC COMMUNICATIONS IN PROBABILITY, 2017, 卷号: 22, 页码: 12
作者:
Hu, Mingshang
;
Peng, Shige
;
Song, Yongsheng
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  |  
浏览/下载:23/0
  |  
提交时间:2018/07/30
G-normal distribution
Stein type characterization
G-expectation
Dynamic programming principle for stochastic recursive optimal control problem driven by a G-Brownian motion
期刊论文
STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2017, 卷号: 127, 期号: 1, 页码: 107-134
作者:
Hu, Mingshang
;
ji, Shaolin
收藏
  |  
浏览/下载:3/0
  |  
提交时间:2019/12/16
G-expectation
Backward stochastic differential equations
Stochastic
recursive optimal control
Robust control
Dynamic programming principle
Product space for two processes with independent increments under nonlinear expectations
期刊论文
ELECTRONIC COMMUNICATIONS IN PROBABILITY, 2017, 卷号: 22
作者:
Gao, Qiang
;
Hu, Mingshang
;
Ji, Xiaojun
;
Liu, Guomin
收藏
  |  
浏览/下载:7/0
  |  
提交时间:2019/12/12
G-expectation
nonlinear expectation
distribution
independence
tightness
Quasi-continuous random variables and processes under the G-expectation framework
期刊论文
STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2016, 卷号: 126, 期号: 8, 页码: 2367-2387
作者:
Hu, Mingshang
;
Wang, Falei
;
Zheng, Guoqiang
收藏
  |  
浏览/下载:3/0
  |  
提交时间:2019/12/17
G-expectation
G-Brownian motion
Quasi-continuous
Krylov's estimates
STOCHASTIC MAXIMUM PRINCIPLE FOR STOCHASTIC RECURSIVE OPTIMAL CONTROL PROBLEM UNDER VOLATILITY AMBIGUITY
期刊论文
SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 2016, 卷号: 54, 期号: 2, 页码: 918-945
作者:
Hu, Mingshang
;
Ji, Shaolin
收藏
  |  
浏览/下载:3/0
  |  
提交时间:2019/12/17
backward stochastic differential equations
volatility ambiguity
G-expectation
maximum principle
robust control
Quasi-continuous random variables and processes under the G-expectation framework
期刊论文
Stochastic Processes and their Applications, 2015, 卷号: 126, 期号: 8, 页码: 2367-2387
作者:
Hu, Mingshang
;
Wang, Falei
;
Zheng, Guoqiang
收藏
  |  
浏览/下载:4/0
  |  
提交时间:2019/12/17
G-Brownian motion
G-expectation
Krylov's estimates
Quasi-continuous
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