An upper bound of large deviations for capacities

DOI10.1155/2014/516291MaRDI QIDQ1718577zbMATH OpenOpenAlexWikidataFDO

Authors Xiaomin Cao

Publication date 8 February 2019

Published in Mathematical Problems in Engineering (Search for Journal in Brave)

Copyright license Creative Commons Attribution 3.0 Unported

Full work available at URL https://doi.org/10.1155/2014/516291

Mathematics Subject Classification ID

Large deviations (60F10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cites work

• G-expectation, G-Brownian motion and related stochastic calculus of Itô type
• \(G\)-Lévy processes under sublinear expectations
• A stochastic recursive optimal control problem under the G-expectation framework
• Ambiguous volatility, possibility and utility in continuous time
• Backward stochastic differential equations driven by \(G\)-Brownian motion
• Coherent measures of risk
• Comparison theorem, Feynman-Kac formula and Girsanov transformation for BSDEs driven by \(G\)-Brownian motion
• Convex measures of risk and trading constraints
• scientific article; zbMATH DE number 1158743 (Why is no real title available?)
• Large deviations and moderate deviations for independent random variables under sublinear expectations
• Large deviations for stochastic differential equations driven by \(G\)-Brownian motion
• On Cramér's theorem for capacities
• Stochastic dominance under the nonlinear expected utilities
• Survey on normal distributions, central limit theorem, Brownian motion and the related stochastic calculus under sublinear expectations

Cited in

(4)

• Stochastic dominance under the nonlinear expected utilities
• Moderate deviations principle for independent random variables under sublinear expectations
• Large deviation principle for reflected stochastic differential equations driven by G-Brownian motion in non-convex domains
• On the moderate deviation principle for \(m\)-dependent random variables with sublinear expectation

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