An upper bound of large deviations for capacities
Summary: Up to now, most of the academic researches about the large deviation and risk theory are under the framework of the classical linear expectations. But motivated by problems of model uncertainties in statistics, measures of risk, and superhedging in finance, sublinear expectations are extensively studied. In this paper, we obtain a type of large deviation principle under the sublinear expectation. This result is a new expression of the Gärtner-Ellis theorem under the sublinear expectations which is in the classical theory of large deviations. In addition, we introduce a new process under the sublinear expectations, that is, the \(G\)-Poisson process. We give an application of our result and obtain the rate function of the compound \(G\)-Poisson process in the upper bound of large deviations for capacities. The application of our result opens a new field for the research of risk theory in the future.
- Large deviations and moderate deviations for independent random variables under sublinear expectations
- Large deviation principle for random variables under sublinear expectations on \(\mathbb{R}^d\)
- Large deviation principle for diffusion processes under a sublinear expectation
- Large deviation for negatively dependent random variables under sublinear expectation
- Self-normalized large deviations under sublinear expectation
- 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
- 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
This page was built for publication: An upper bound of large deviations for capacities
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1718577)
