A deviation inequality for increment of a \(G\)-Brownian motion under \(G\)-expectation and applications
From MaRDI portal
Publication:6110094
DOI10.1016/j.spl.2023.109848zbMath1515.60220OpenAlexW4364374883MaRDI QIDQ6110094
Publication date: 4 July 2023
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2023.109848
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Stochastic integrals (60H05)
Cites Work
- Unnamed Item
- How big are the increments of \(G\)-Brownian motion?
- Stopping times and related Itô's calculus with \(G\)-Brownian motion
- Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
- Pathwise properties and homeomorphic flows for stochastic differential equations driven by \(G\)-Brownian motion
- Martingale characterization of \(G\)-Brownian motion
- Girsanov's formula for \(G\)-Brownian motion
- Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
- A Girsanov Type Theorem Under G-Framework