arXiv subjects

Bingru Zhao

Publications and source records attributed to Bingru Zhao.

4 recordsLinked to original sources

arXiv2026

Optimal control problems of Stochastic Volterra integral equations under Volatility Ambiguity

In this paper, we study the optimal control problems for stochastic Volterra integral equations driven by G-Brownian motion under Volatility Ambiguity. With the help of G-stochastic analysis techniques and the weak convergence methods, we obtain the variation of the cost functional and the variational inequality. Under the convexity assumptions, we establish the stochastic maximum principle, which serves as both a necessary and sufficient condition for optimal control.

math.OC↗

arXiv2025

Backward Stochastic Volterra integral equations driven by G-Brownian motion

In this paper, we study the Backward stochastic Volterra integral equation driven by G-Brownian motion (G-BSVIE). By adopting a different backward iteration method, we construct the approximating sequences on each local interval. With the help of G-stochastic analysis techniques and the monotone convergence theorem, the existence, uniqueness, and continuity of the solution over the entire interval are established. Moreover, we derive the comparison theorem.

math.PR↗

arXiv2025

Stochastic Volterra integral equations driven by $ G $-Brownian motion

In this paper, we study the stochastic Volterra integral equation driven by $G$-Brownian motion ($G$-SVIE). The existence, uniqueness and two types of continuity of the solution to $G$-SVIE are obtained. Moreover, combining a new quasilinearization technique with the two-step approximation method, we establish the corresponding comparison theorem for a class of $G$-SVIEs. In particular, by means of this method, the classical assumptions on partial derivatives of the coefficients are unnecessary.

math.PR↗

arXiv2024

BSDEs driven by G-Brownian motion with time-varying uniformly continuous generators

In this paper, we study the backward stochastic differential equations driven by G-Brownian motion under the condition that the generator is time-varying Lipschitz continuous with respect to y and time-varying uniformly continuous with respect to z. With the help of linearization method and the G-stochastic analysis techniques, we construct the approximating sequences of G-BSDE and obtain some precise a priori estimates. By combining this with the approximation method, we prove the existence and uniqueness of the solution under the time-varying conditions, as well as the comparison theorem.

math.PR↗