Itô's calculus under sublinear expectations via regularity of PDEs and rough paths

DOI10.1016/j.spa.2017.08.008zbMath1390.60160OpenAlexW2752561900MaRDI QIDQ1747795

Xin Guo, Chen Pan

Publication date: 27 April 2018

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2017.08.008

zbMATH Keywords

martingale problemstochastic integralItô's formulafully nonlinear PDEsrough path theorynonlinear expectation

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Nonlinear initial, boundary and initial-boundary value problems for nonlinear parabolic equations (35K61)

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