Chaotic expansion in the G-expectation space

DOI10.7494/OPMATH.2013.33.4.647MaRDI QIDQ2864641zbMATH OpenFDO

Authors Hacène Boutabia, Imen Grabsia

Publication date 26 November 2013

Published in Opuscula Mathematica (Search for Journal in Brave)

zbMATH Keywords

\(G\)-Brownian motion\(G\)-expectationHermite polynomials\(G\)-multiple integrals\(G\)-Wiener chaos

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Recommendations

• Multiple G-Itō integral in G-expectation space
• scientific article; zbMATH DE number 4072056
• \(G\)-expectation, \(G\)-Brownian motion and related stochastic calculus of Itô type
• scientific article; zbMATH DE number 3885036
• Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation

Cited in

(4)

• Spatial and temporal white noises under sublinear \(G\)-expectation
• Multiple \(G\)-Itō integral in \(G\)-expectation space
• Stochastic differential equations for orthogonal eigenvectors of (G,ε)-Wishart process related to multivariate G-fractional Brownian motion
• Expansion of the density: A Wiener-chaos approach

This page was built for publication: Chaotic expansion in the \(G\)-expectation space

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2864641)