Numerical simulations for \(G\)-Brownian motion (Q335585): Difference between revisions

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+https://doi.org/10.1007/s11464-016-0504-9
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+W2494258185
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+Coherent Measures of Risk
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+Pricing and hedging derivative securities in markets with uncertain volatilities
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+Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
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+A probabilistic numerical method for fully nonlinear parabolic PDEs
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+Pathwise properties and homeomorphic flows for stochastic differential equations driven by \(G\)-Brownian motion
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+Backward stochastic differential equations driven by \(G\)-Brownian motion
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+Comparison theorem, Feynman-Kac formula and Girsanov transformation for BSDEs driven by \(G\)-Brownian motion
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+On representation theorem of \(G\)-expectations and paths of \(G\)-Brownian motion
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+Q4004325
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+Stopping times and related Itô's calculus with \(G\)-Brownian motion
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+Stochastic differential equations driven by \(G\)-Brownian motion with reflecting boundary conditions
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+Q5436616
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+Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
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+Survey on normal distributions, central limit theorem, Brownian motion and the related stochastic calculus under sublinear expectations
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+Tools for computational finance
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+Martingale representation theorem for the \(G\)-expectation
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+Some properties on \(G\)-evaluation and its applications to \(G\)-martingale decomposition
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+Discrete-time probabilistic approximation of path-dependent stochastic control problems
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+Martingale characterization of \(G\)-Brownian motion
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+Exponential stability for stochastic differential equation driven by G-Brownian motion
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+New Kinds of High-Order Multistep Schemes for Coupled Forward Backward Stochastic Differential Equations
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+Publication:335585