Itô's calculus under sublinear expectations via regularity of PDEs and rough paths

DOI10.1016/J.SPA.2017.08.008MaRDI QIDQ1747795zbMATH OpenOpenAlexFDO

Authors Xin Guo, Chen Pan

Publication date 27 April 2018

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spa.2017.08.008

zbMATH Keywords

fully nonlinear PDEsItô's formulamartingale problemnonlinear expectationrough path theorystochastic integral

Mathematics Subject Classification ID

Nonlinear initial, boundary and initial-boundary value problems for nonlinear parabolic equations (35K61) Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Optimal stochastic control (93E20)

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Cites work

• \(G\)-Brownian motion as rough paths and differential equations driven by \(G\)-Brownian motion
• G-expectation, G-Brownian motion and related stochastic calculus of Itô type
• A course on rough paths. With an introduction to regularity structures
• Classical solutions of fully nonlinear, convex, second-order elliptic equations
• Controlling rough paths
• Curvilinear integrals along enriched paths
• Differential equations driven by rough signals
• Diffusion processes with continuous coefficients, I
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• scientific article; zbMATH DE number 3664138 (Why is no real title available?)
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• scientific article; zbMATH DE number 3806019 (Why is no real title available?)
• Martingale representation theorem for the \(G\)-expectation
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• Pathwise construction of stochastic integrals
• Quasi-sure stochastic analysis through aggregation
• Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs
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• Stochastic integration and \(L^ p-\)theory of semimartingales
• User’s guide to viscosity solutions of second order partial differential equations
• Wellposedness of second order backward SDEs

Cited in

(1)

• scientific article; zbMATH DE number 6325220 (Why is no real title available?)

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