Spatial and temporal white noises under sublinear G-expectation

DOI10.1007/S11425-018-9558-1MaRDI QIDQ2301202zbMATH OpenOpenAlexWikidataFDO

Authors Yanyan Li

Publication date 28 February 2020

Published in Science China. Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1811.02901

zbMATH Keywords

\(G\)-Brownian motion\(G\)-Gaussian random field\(G\)-white noisespatial and temporal white noisesublinear expectation

Mathematics Subject Classification ID

Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65) Stochastic integrals (60H05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Applications of stochastic analysis (to PDEs, etc.) (60H30) White noise theory (60H40)

Abstract: In the framework of sublinear expectation, we have introduced a new type of G-Gaussian random fields, which contain a type of spatial white noise as a special case. Based on this result, we also have introduced a spatial-temporal G-white noise. Different from the case of linear expectation, in which the probability measure need to be known, under the uncertainty of the probability measure, the spatial white noises are intrinsically different from the temporal one.

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Cited in

(3)

• Random \(G\)-expectations
• Maximally distributed random fields under sublinear expectation
• Stochastic heat equations driven by space-time G-white noise under sublinear expectation

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