arXiv subjects

Xuepeng Bai

Publications and source records attributed to Xuepeng Bai.

2 recordsLinked to original sources

arXiv2015

On the existence and uniqueness of solutions to stochastic differential equations driven by G-Brownian motion with integral-Lipschitz coefficients

In this paper, we study the existence and uniqueness of solutions to stochastic differential equations driven by G-Brownian motion (GSDEs) with integral-Lipschitz conditions on their coefficients.

math.PR↗

arXiv2009

Inf-convolution of G-expectations

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 inf-convolution of drivers G.

q-fin.RM↗