The modulus of continuity theorem for G-Brownian motion

DOI10.1080/03610926.2015.1066816zbMath1369.60056OpenAlexW2342693620MaRDI QIDQ4976236

Feng Hu

Publication date: 27 July 2017

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2015.1066816

zbMATH Keywords

capacitymodulus of continuity\(G\)-Brownian motionsublinear expectation\(G\)-normal distribution

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Generalizations of martingales (60G48)

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\(L^{p}\) solutions of infinite time interval backward doubly stochastic differential equations under monotonicity and general increasing conditions ⋮ Disturbance observer based control for dynamically positioned ships with ocean environmental disturbances and actuator saturation ⋮ Stability analysis of stochastic pantograph multi-group models with dispersal driven by \(G\)-Brownian motion ⋮ Stability of square-mean almost automorphic mild solutions to impulsive stochastic differential equations driven by G-Brownian motion ⋮ Sobolev-type stochastic differential equations driven by G-Brownian motion

Cites Work

• Some properties on \(G\)-evaluation and its applications to \(G\)-martingale decomposition
• Martingale representation theorem for the \(G\)-expectation
• Properties of hitting times for \(G\)-martingales and their applications
• Large deviations for stochastic differential equations driven by \(G\)-Brownian motion
• Central limit theorem for capacities
• Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
• A general central limit theorem under sublinear expectations
• Moment bounds for IID sequences under sublinear expectations
• On Cramér's theorem for capacities
• Pathwise properties and homeomorphic flows for stochastic differential equations driven by \(G\)-Brownian motion
• Martingale characterization of \(G\)-Brownian motion
• Survey on normal distributions, central limit theorem, Brownian motion and the related stochastic calculus under sublinear expectations
• Convex measures of risk and trading constraints
• Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
• Theory of capacities
• Coherent Measures of Risk

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