Nonlinear expectations and nonlinear Markov chains

DOI10.1142/S0252959905000154MaRDI QIDQ2483722zbMATH OpenFDO

Authors Shige Peng

Publication date 26 July 2005

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

zbMATH Keywords

Doob-Meyer decomposition\(g\)-expectationBackward stochastic differential equations\(g\)-martingaleMeasure of riskNonlinear Kolmogorov's consistent theorem

Mathematics Subject Classification ID

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

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Cited in

(92)

• Theory, methods and meaning of nonlinear expectation theory
• Reflected stochastic differential equations driven by G-Brownian motion with nonlinear resistance
• Almost sure exponential stability of nonlinear stochastic delay hybrid systems driven by \(G\)-Brownian motion
• Reflected backward stochastic differential equations driven by \(G\)-Brownian motion under monotonicity condition
• Distributional Uncertainty of the Financial Time Series Measured by $G$-Expectation
• Viability for stochastic differential equations driven by \(G\)-Brownian motion
• Stochastic differential equations driven by G-Brownian motion and ordinary differential equations
• Nonlinear Markov processes in big networks
• Extension and Application of Itô's Formula UnderG-Framework
• scientific article; zbMATH DE number 2144817 (Why is no real title available?)
• Markovian imprecise jump processes: extension to measurable variables, convergence theorems and algorithms
• 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
• Decoupling on the Wiener space, related Besov spaces, and applications to BSDEs
• BSDEs driven by \(G\)-Brownian motion under degenerate case and its application to the regularity of fully nonlinear PDEs
• A generalized stochastic process: fractional \(G\)-Brownian motion
• 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
• Dynamic programming principle and Hamilton-Jacobi-Bellman equation under nonlinear expectation
• Ambiguous volatility, possibility and utility in continuous time
• Reflected backward stochastic differential equation driven by \(G\)-Brownian motion with an upper obstacle
• Dynamical evaluations
• \(G\)-stochastic maximum principle for risk-sensitive control problem and its applications
• Linear regression under model uncertainty
• Survey on normal distributions, central limit theorem, Brownian motion and the related stochastic calculus under sublinear expectations
• Law of large numbers and central limit theorem under nonlinear expectations
• A conditional version of the second fundamental theorem of asset pricing in discrete time
• On the comparison theorem for multi-dimensional \(G\)-SDEs
• Local Lipschitz-\(\alpha\) mappings and applications to sublinear expectations
• On representation theorem of \(G\)-expectations and paths of \(G\)-Brownian motion
• Reflected solutions of backward stochastic differential equations driven by \(G\)-Brownian motion
• On nonlinear expectations and Markov chains under model uncertainty
• Markov chains under nonlinear expectation
• 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
• Stopping times and related Itô's calculus with \(G\)-Brownian motion
• Nonlinear expectations of random sets
• 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
• 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
• 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
• On the averaging principle for stochastic differential equations driven by \(G\)-Lévy process
• scientific article; zbMATH DE number 1867094 (Why is no real title available?)
• Survey on path-dependent PDEs
• Sample path properties of \(G\)-Brownian motion
• Explicit positive solutions to \(G\)-heat equations and the application to \(G\)-capacities
• Non-linear expectations in spaces of Colombeau generalized functions
• On some conditions for strong law of large numbers for weighted sums of END random variables under sublinear expectations
• Independence under the \(G\)-expectation framework
• A general comparison theorem for backward stochastic differential equations
• 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
• Ergodicity of sublinear Markovian semigroups
• 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
• The method of upper and lower solutions for a class of fractional differential coupled systems
• \(G\)-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
• 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
• Infinite horizon BSDEs under consistent nonlinear expectations
• Variable exponent function spaces related to a sublinear expectation
• Jensen's inequality for g-convex function under g-expectation
• Jensen's inequality for backward SDEs driven by \(G\)-Brownian motion
• Random \(G\)-expectations
• Martingale problem under nonlinear expectations
• Mean-field anticipated BSDEs driven by time-changed Lévy noises
• Optimal unbiased estimation for maximal distribution
• Expectations for nonreversible Markov chains
• Solutions of BSDEs with a kind of non-Lipschitz coefficients driven by \(G\)-Brownian motion
• Markov risk mappings and risk-sensitive optimal prediction
• Retracted: Sublinear expectation nonlinear regression for the financial risk measurement and management
• Complete convergence and complete moment convergence for arrays of rowwise negatively dependent random variables under sub-linear expectations
• Convergences of random variables under sublinear expectations
• \(G\)-Lévy processes under sublinear expectations
• Strong laws of large numbers for weighted sums of extended negatively dependent random variables under sub-linear expectations
• Exponential stability of solutions to stochastic differential equations driven by \(G\)-Lévy process

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