Quadratic $G$-BSDEs with convex generators and unbounded terminal conditions

no code implementations • 27 Jan 2021 • Ying Hu, Shanjian Tang, Falei Wang

In this paper, we first study one-dimensional quadratic backward stochastic differential equations driven by $G$-Brownian motions ($G$-BSDEs) with unbounded terminal values.

Probability 60H10

Convergence of Gradient Algorithms for Nonconvex C^{1+alpha} Cost Functions

no code implementations • 1 Dec 2020 • Zixuan Wang, Shanjian Tang

This paper is concerned with convergence of stochastic gradient algorithms with momentum terms in the nonconvex setting.