Nonlinear expectations and nonlinear Markov chains

DOI10.1142/S0252959905000154zbMATH Open1077.60045MaRDI QIDQ2483722FDOQ2483722

Publication date: 26 July 2005

Published in: Chinese Annals of Mathematics. Series B (Search for Journal in Brave)

Recommendations

Markov chains under nonlinear expectation
On nonlinear expectations and Markov chains under model uncertainty
Expectations for nonreversible Markov chains
Nonlinear Markov processes
Nonlinear expectations and limit theorems
Some properties of nonlinear expectations
Nonlinear Markovian problems in large dimensions
On the convergence of nonlinear Markov chains
Nonlinear Markov renewal theory with statistical applications

Doob-Meyer decomposition $g$-expectation Backward stochastic differential equations $g$-martingale Measure of risk Nonlinear Kolmogorov's consistent theorem

Mathematics Subject Classification ID

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

Cites Work

Title not available (Why is that?)

Cited In (92)

Reflected stochastic differential equations driven by $G$-Brownian motion with nonlinear resistance
Extension and Application of Itô's Formula UnderG-Framework
Viability for stochastic differential equations driven by $G$-Brownian motion
Title not available (Why is that?)
Stochastic differential equations driven by $G$-Brownian motion and ordinary differential equations
Nonlinear Markov processes in big networks
Decoupling on the Wiener space, related Besov spaces, and applications to BSDEs
A generalized stochastic process: fractional $G$-Brownian motion
Function spaces and capacity related to a sublinear expectation: application to $G$-Brownian motion paths
Jump-filtration consistent nonlinear expectations with $\mathbb{L}^p$ domains
Dynamic programming principle and Hamilton-Jacobi-Bellman equation under nonlinear expectation
Path independence of the additive functionals for stochastic differential equations driven by $G$-Lévy processes
Itô's calculus under sublinear expectations via regularity of PDEs and rough paths
Ambiguous volatility, possibility and utility in continuous time
Dynamical evaluations
Law of large numbers and central limit theorem under nonlinear expectations
Survey on normal distributions, central limit theorem, Brownian motion and the related stochastic calculus under sublinear expectations
On the comparison theorem for multi-dimensional $G$-SDEs
Markov chains under nonlinear expectation
On representation theorem of $G$-expectations and paths of $G$-Brownian motion
Reflected solutions of backward stochastic differential equations driven by $G$-Brownian motion
Reflected forward-backward stochastic differential equations driven by $G$-Brownian motion with continuous monotone coefficients
Quasi-continuous random variables and processes under the $G$-expectation framework
Nonlinear expectations of random sets
Stopping times and related Itô's calculus with $G$-Brownian motion
Martingale characterization of $G$-Brownian motion
A stochastic recursive optimal control problem under the G-expectation framework
Strong laws of large numbers for sub-linear expectations
Representation theorems for quadratic $\mathcal F$-consistent nonlinear expectations
Machine learning approximation algorithms for high-dimensional fully nonlinear partial differential equations and second-order backward stochastic differential equations
On monotonicity and order-preservation for multidimensional $G$-diffusion processes
Complete convergence and complete moment convergence for weighted sums of extended negatively dependent random variables under sub-linear expectation
Stochastic dominance under the nonlinear expected utilities
Filtration-consistent nonlinear expectations and related $g$-expectations
Forward-backward stochastic differential equations driven by $G$-Brownian motion
Title not available (Why is that?)
Explicit positive solutions to $G$-heat equations and the application to $G$-capacities
Sample path properties of $G$-Brownian motion
On some conditions for strong law of large numbers for weighted sums of END random variables under sublinear expectations
A general comparison theorem for backward stochastic differential equations
Independence under the $G$-expectation framework
Ergodicity of sublinear Markovian semigroups
Nonlinear expectations and limit theorems
BSDE, path-dependent PDE and nonlinear Feynman-Kac formula
Representation theorem for generators of BSDEs driven by $G$-Brownian motion and its applications
Kolmogorov-type and general extension results for nonlinear expectations
Multi-dimensional $G$-Brownian motion and related stochastic calculus under $G$-expectation
Stochastic maximum principle for optimal control problem under G-expectation utility
A semigroup approach to nonlinear Lévy processes
$G$-expectation weighted Sobolev spaces, backward SDE and path dependent PDE
Backward stochastic differential equations driven by $G$-Brownian motion
Comparison theorem, Feynman-Kac formula and Girsanov transformation for BSDEs driven by $G$-Brownian motion
General martingale characterization of $G$-Brownian motion
Homeomorphism flows for SDEs driven by $G$-Brownian motion with non-Lipschitz coefficients
Infinite horizon BSDEs under consistent nonlinear expectations
Jensen's inequality for $g$-convex function under $g$-expectation
Martingale problem under nonlinear expectations
Mean-field anticipated BSDEs driven by time-changed Lévy noises
Solutions of BSDEs with a kind of non-Lipschitz coefficients driven by $G$-Brownian motion
Random $G$-expectations
Expectations for nonreversible Markov chains
Convergences of random variables under sublinear expectations
$G$-Lévy processes under sublinear expectations
Exponential stability of solutions to stochastic differential equations driven by $G$-Lévy process
Theory, methods and meaning of nonlinear expectation theory
Reflected backward stochastic differential equations driven by $G$-Brownian motion under monotonicity condition
Distributional Uncertainty of the Financial Time Series Measured by $G$-Expectation
Almost sure exponential stability of nonlinear stochastic delay hybrid systems driven by $G$-Brownian motion
Markovian imprecise jump processes: extension to measurable variables, convergence theorems and algorithms
BSDEs driven by $G$-Brownian motion under degenerate case and its application to the regularity of fully nonlinear PDEs
$G$-stochastic maximum principle for risk-sensitive control problem and its applications
Linear regression under model uncertainty
A conditional version of the second fundamental theorem of asset pricing in discrete time
Reflected backward stochastic differential equation driven by $G$-Brownian motion with an upper obstacle
Local Lipschitz-$\alpha$ mappings and applications to sublinear expectations
On nonlinear expectations and Markov chains under model uncertainty
G-Gaussian processes under sublinear expectations and $q $-Brownian motion in quantum mechanics
A sufficient and necessary condition of PS-ergodicity of periodic measures and generated ergodic upper expectations
On the averaging principle for stochastic differential equations driven by $G$-Lévy process
Survey on path-dependent PDEs
Non-linear expectations in spaces of Colombeau generalized functions
The method of upper and lower solutions for a class of fractional differential coupled systems
The convergence properties for randomly weighted sums of widely negative dependent random variables under sub-linear expectations with related statistical applications
Prokhorov Distance with Rates of Convergence under Sublinear Expectations
Nonlinear regression without i.i.d. assumption
Variable exponent function spaces related to a sublinear expectation
Jensen's inequality for backward SDEs driven by $G$-Brownian motion
Optimal unbiased estimation for maximal distribution
Complete convergence and complete moment convergence for arrays of rowwise negatively dependent random variables under sub-linear expectations
Markov risk mappings and risk-sensitive optimal prediction
Retracted: Sublinear expectation nonlinear regression for the financial risk measurement and management
Strong laws of large numbers for weighted sums of extended negatively dependent random variables under sub-linear expectations

This page was built for publication: Nonlinear expectations and nonlinear Markov chains

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2483722)