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07/23/2021
A monotone scheme for nonlinear partial integro-differential equations with the convergence rate of α-stable limit theorem under sublinear expectation
In this paper, we propose a monotone approximation scheme for a class of...
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04/06/2021
Discrete time approximation of fully nonlinear HJB equations via stochastic control problems under the G-expectation framework
In this paper, we propose a class of discrete-time approximation schemes...
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10/01/2020
An Efficient Numerical Method for Forward-Backward Stochastic Differential Equations Driven by G-Brownian motion
In this paper, we study the numerical method for solving forward-backwar...
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07/13/2020
An Effective Discrete Recursive Method for Stochastic Optimal Control Problems
In this paper, we study the numerical method for stochastic optimal cont...
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11/29/2019