Extension and Application of Itô's Formula UnderG-Framework

DOI10.1080/07362990903546595zbMath1222.60048OpenAlexW1996013576MaRDI QIDQ5305283

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Publication date: 19 March 2010

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

Full work available at URL: https://doi.org/10.1080/07362990903546595

zbMATH Keywords

backward stochastic differential equationItô formulanonlinear expectation

Mathematics Subject Classification ID

Strong limit theorems (60F15) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (21)

Multi-valued stochastic differential equations driven byG-Brownian motion and related stochastic control problems ⋮ A law of large numbers under the nonlinear expectation ⋮ \(p\)-moment stability of solutions to stochastic differential equations driven by \(G\)-Brownian motion ⋮ Almost Periodic Solutions for Stochastic Differential Equations Driven By G-Brownian Motion ⋮ Stochastic Motion Under G-Framework: I. Nelson Stochastic Derivatives ⋮ Stochastic maximum principle for optimal control problem under G-expectation utility ⋮ Multi-valued backward stochastic differential equations driven byG-Brownian motion and its applications ⋮ Stochastic differential equations driven by \(G\)-Brownian motion and ordinary differential equations ⋮ A note on the stochastic differential equations driven by \(G\)-Brownian motion ⋮ Asymptotic estimates for the solution of stochastic differential equations driven By G-Brownian motion ⋮ Martingale representation theorem for G-Brownian motion ⋮ Boundedness and stability analysis for impulsive stochastic differential equations driven by G-Brownian motion ⋮ Stopping times and related Itô's calculus with \(G\)-Brownian motion ⋮ General Martingale Characterization ofG-Brownian Motion ⋮ Square-mean pseudo almost automorphic mild solutions for stochastic evolution equations driven byG-Brownian motion ⋮ \(G\)-neutral stochastic differential equations with variable delay and non-Lipschitz coefficients ⋮ Stability of square-mean almost automorphic mild solutions to impulsive stochastic differential equations driven by G-Brownian motion ⋮ Existence and exponential stability of almost pseudo automorphic solution for neutral stochastic evolution equations driven by G-Brownian motion ⋮ The p-th moment stability of solutions to impulsive stochastic differential equations driven by G-Brownian motion ⋮ Reflected stochastic differential equations driven by \(G\)-Brownian motion with nonlinear resistance ⋮ Exponential stability of solutions to impulsive stochastic differential equations driven by \(G\)-Brownian motion

Cites Work

• A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
• Asymptotic expansions of transition densities for hybrid jump-diffusions
• Choquet expectation and Peng's \(g\)-expectation
• Nonlinear expectations and nonlinear Markov chains
• Risk, Ambiguity, and the Savage Axioms
• Le Comportement de l'Homme Rationnel devant le Risque: Critique des Postulats et Axiomes de l'Ecole Americaine
• Continuous properties of \(g\)-martingales

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