A Girsanov Type Theorem Under G-Framework

DOI10.1080/07362994.2011.548985zbMath1225.60115OpenAlexW2054585000MaRDI QIDQ3005153

Jing Xu, Hao Shang, Bo Zhang

Publication date: 7 June 2011

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

Full work available at URL: https://doi.org/10.1080/07362994.2011.548985

zbMATH Keywords

Girsanov theorem\(G\)-Brownian motion\(G\)-expectation

Mathematics Subject Classification ID

Brownian motion (60J65) Applications of stochastic analysis (to PDEs, etc.) (60H30) Generalized stochastic processes (60G20) Derivative securities (option pricing, hedging, etc.) (91G20) Martingales and classical analysis (60G46)

Related Items (18)

Lyapunov-type conditions and stochastic differential equations driven by \(G\)-Brownian motion ⋮ Quadratic backward stochastic differential equations driven by \(G\)-Brownian motion: discrete solutions and approximation ⋮ Robust valuation, arbitrage ambiguity and profit \& loss analysis ⋮ Path independence of the additive functionals for stochastic differential equations driven by \(G\)-Lévy processes ⋮ Multiple \(G\)-Itō integral in \(G\)-expectation space ⋮ Quadratic BSDEs with mean reflection driven by G-brownian motion ⋮ A deviation inequality for increment of a \(G\)-Brownian motion under \(G\)-expectation and applications ⋮ \(G\)-stochastic maximum principle for risk-sensitive control problem and its applications ⋮ Comparison theorem, Feynman-Kac formula and Girsanov transformation for BSDEs driven by \(G\)-Brownian motion ⋮ Girsanov theorem for \(G\)-Brownian motion: the degenerate case ⋮ Martingale problem under nonlinear expectations ⋮ Reflected quadratic BSDEs driven by \(G\)-Brownian motions ⋮ Quasi-sure exponential stability and stabilisation of stochastic delay differential equations under G-expectation framework ⋮ A note on the exponential \(G\)-martingale ⋮ Harnack inequality and applications for SDEs driven by \(G\)-Brownian motion ⋮ An \(\alpha\)-stable limit theorem under sublinear expectation ⋮ Successive approximation of SFDEs with finite delay driven by \(G\)-Brownian motion ⋮ Improved Results on Stabilization of $G$-SDEs by Feedback Control Based on Discrete-Time Observations

Cites Work

• The Pricing of Options and Corporate Liabilities
• A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
• Martingale characterization of \(G\)-Brownian motion
• Absolute continuity of symmetric diffusions
• Girsanov and Feynman-Kac type transformations for symmetric Markov processes
• Absolute continuity of symmetric Markov processes.
• On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures
• A Girsanov Type Theorem on the Path Space Over a Compact Riemannian Manifold

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