Stochastic calculus with respect to \(G\)-Brownian motion viewed through rough paths
From MaRDI portal
Publication:2360844
DOI10.1007/s11425-016-0171-4zbMath1367.60061arXiv1510.01851MaRDI QIDQ2360844
Publication date: 29 June 2017
Published in: Science China. Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1510.01851
Related Items
Convergence error estimates of the Crank-Nicolson scheme for solving decoupled FBSDEs, Delay-dependent asymptotic stability of highly nonlinear stochastic differential delay equations driven by \(G\)-Brownian motion, How Rough Path Lifts Affect Expected Return and Volatility: A Rough Model under Transaction Cost, Rough path analysis for local time of G-Brownian motion, Steady small-disturbance transonic dense gas flow past two-dimensional compression/expansion ramps, Wong-Zakai approximation for stochastic differential equations driven by \(G\)-Brownian motion
Cites Work
- Regularity of laws and ergodicity of hypoelliptic SDEs driven by rough paths
- Uniqueness of the representation for \(G\)-martingales with finite variation
- Smoothness of the density for solutions to Gaussian rough differential equations
- Adapted solution of a backward stochastic differential equation
- Large deviations for stochastic differential equations driven by \(G\)-Brownian motion
- Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
- Ramification of rough paths
- On representation theorem of \(G\)-expectations and paths of \(G\)-Brownian motion
- Differential equations driven by rough signals
- Forward-backward stochastic differential equations and their applications
- Backward doubly stochastic differential equations and systems of quasilinear SPDEs
- Controlling rough paths
- Donsker's invariance principle under the sub-linear expectation with an application to Chung's law of the iterated logarithm
- Backward stochastic differential equations driven by \(G\)-Brownian motion
- Comparison theorem, Feynman-Kac formula and Girsanov transformation for BSDEs driven by \(G\)-Brownian motion
- Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
- A General Stochastic Maximum Principle for Optimal Control Problems
- Backward Stochastic Differential Equations in Finance
- G-Brownian Motion as Rough Paths and Differential Equations Driven by G-Brownian Motion
- System Control and Rough Paths
- Doob--Meyer for rough paths
- A course on rough paths. With an introduction to regularity structures
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
