We study a stochastic control system involving both a standard and a fractional Brownian motion with Hurst parameter less than 1/2.We apply an anticipative Girsanov transformation to transform the system into another ...We study a stochastic control system involving both a standard and a fractional Brownian motion with Hurst parameter less than 1/2.We apply an anticipative Girsanov transformation to transform the system into another one,driven only by the standard Brownian motion with coefficients depending on both the fractional Brownian motion and the standard Brownian motion.We derive a maximum principle and the associated stochastic variational inequality,which both are generalizations of the classical case.展开更多
In this paper we will discuss the optimal risk transfer problems when risk measures are generated by G-expectations,and we present the relationship between inf-convolution of G-expectations and the infconvolution of d...In this paper we will discuss the optimal risk transfer problems when risk measures are generated by G-expectations,and we present the relationship between inf-convolution of G-expectations and the infconvolution of drivers G.展开更多
We are delighted to present this special issue of PUQR in honor of Professor Alain Bensoussan on the occasion of his 80th birthday.While this birthday provides a good opportunity to celebrate the life and the successe...We are delighted to present this special issue of PUQR in honor of Professor Alain Bensoussan on the occasion of his 80th birthday.While this birthday provides a good opportunity to celebrate the life and the successes of an outstanding researcher,the COVID-19 epidemic has made it hard for a normal meeting.We hope that this special issue of collected papers will nevertheless provide a lasting mark for his birthday and express the appreciation and best wishes to Alain Bensoussan,from his colleagues and former students,from his co-authors and co-co-authors around the world,for a long life in good health and creative power.展开更多
基金supported by National Natural Science Foundation of China(Grant No11301560)
文摘We study a stochastic control system involving both a standard and a fractional Brownian motion with Hurst parameter less than 1/2.We apply an anticipative Girsanov transformation to transform the system into another one,driven only by the standard Brownian motion with coefficients depending on both the fractional Brownian motion and the standard Brownian motion.We derive a maximum principle and the associated stochastic variational inequality,which both are generalizations of the classical case.
文摘In this paper we will discuss the optimal risk transfer problems when risk measures are generated by G-expectations,and we present the relationship between inf-convolution of G-expectations and the infconvolution of drivers G.
文摘We are delighted to present this special issue of PUQR in honor of Professor Alain Bensoussan on the occasion of his 80th birthday.While this birthday provides a good opportunity to celebrate the life and the successes of an outstanding researcher,the COVID-19 epidemic has made it hard for a normal meeting.We hope that this special issue of collected papers will nevertheless provide a lasting mark for his birthday and express the appreciation and best wishes to Alain Bensoussan,from his colleagues and former students,from his co-authors and co-co-authors around the world,for a long life in good health and creative power.
