Quasi-continuous random variables and processes under the G-expectation framework
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Quasi-continuous random variables and processes under the \(G\)-expectation framework
Quasi-continuous random variables and processes under the \(G\)-expectation framework
Abstract: In this paper, we first use PDE techniques and probabilistic methods to identify a kind of quasi-continuous random variables. Then we give a characterization of the -integrable processes and get a kind of quasi-continuous processes by Krylov's estimates. This result is useful for the development of -stochastic analysis theory. Moreover, it also provides a tool for the study of the non-Markovian It^o processes.
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Cites work
- G-expectation, G-Brownian motion and related stochastic calculus of Itô type
- A stochastic recursive optimal control problem under the G-expectation framework
- Backward stochastic differential equations driven by \(G\)-Brownian motion
- Comparison theorem, Feynman-Kac formula and Girsanov transformation for BSDEs driven by \(G\)-Brownian motion
- Filtration consistent nonlinear expectations and evaluations of contingent claims
- Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
- scientific article; zbMATH DE number 3720745 (Why is no real title available?)
- Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectation
- Nonlinear expectations and nonlinear Markov chains
- ON ESTIMATES OF THE MAXIMUM OF A SOLUTION OF A PARABOLIC EQUATION AND ESTIMATES OF THE DISTRIBUTION OF A SEMIMARTINGALE
- On representation theorem of \(G\)-expectations and paths of \(G\)-Brownian motion
- On the marginal laws of one-dimensional stochastic integrals with uniformly elliptic integrand
- Some properties on \(G\)-evaluation and its applications to \(G\)-martingale decomposition
- Stopping times and related Itô's calculus with \(G\)-Brownian motion
- Uniqueness of the representation for G-martingales with finite variation
Cited in
(44)- Quadratic backward stochastic differential equations driven by \(G\)-Brownian motion: discrete solutions and approximation
- Sample path properties of G-Brownian motion
- BSDEs with mean reflection driven by G-Brownian motion
- Backward stochastic differential equations driven by \(G\)-Brownian motion with uniformly continuous generators
- Explicit positive solutions to \(G\)-heat equations and the application to \(G\)-capacities
- Quadratic \(G\)-BSDEs with convex generators and unbounded terminal conditions
- Reflected forward-backward stochastic differential equations driven by \(G\)-Brownian motion with continuous monotone coefficients
- Backward stochastic differential equations driven by \(G\)-Brownian motion with uniformly continuous coefficients in \((y, z)\)
- Term structure modeling under volatility uncertainty
- Local time and Tanaka formula of \(G\)-martingales
- BSDEs driven by \(G\)-Brownian motion with time-varying Lipschitz condition
- Reflected backward stochastic differential equation driven by \(G\)-Brownian motion with an upper obstacle
- Exit times for semimartingales under nonlinear expectation
- BSDEs driven by \(G\)-Brownian motion with non-Lipschitz coefficients
- Lévy's martingale characterization and reflection principle of \(G\)-Brownian motion
- Solutions of BSDEs with a kind of non-Lipschitz coefficients driven by \(G\)-Brownian motion
- On stability of large-scale \(G\)-SDEs: a decomposition approach
- Dynamic programming principle for stochastic recursive optimal control problem driven by a \(G\)-Brownian motion
- Stochastic optimal control problem with infinite horizon driven by G-Brownian motion
- Duality and General Equilibrium Theory Under Knightian Uncertainty
- Multi-dimensional BSDEs driven by \(G\)-Brownian motion and related system of fully nonlinear PDEs
- Rough path analysis for local time of G-Brownian motion
- Quasi-sure exponential stability and stabilisation of stochastic delay differential equations under G-expectation framework
- Reflected stochastic differential equations driven by G-Brownian motion in non-convex domains
- Dynamic programming principle and Hamilton-Jacobi-Bellman equation under nonlinear expectation
- Existence and exponential stability of almost pseudo automorphic solution for neutral stochastic evolution equations driven by G-Brownian motion
- Mean-field backward stochastic differential equations driven by \(G\)-Brownian motion with uniformly continuous coefficients
- Relationship between maximum principle and dynamic programming principle for stochastic recursive optimal control problem under volatility uncertainty
- On the capacity for degenerated G-Brownian motion and its application
- Multi-dimensional mean-reflected BSDEs driven by G-Brownian motion with time-varying non-Lipschitz coefficients
- Reflected BSDEs driven by \(G\)-Brownian motion with time-varying Lipschitz coefficients
- \(G\)-forward performance process and representation of homothetic case via ergodic quadratic \(G\)-BSDE
- Reflected backward stochastic differential equations driven by G-Brownian motion under monotonicity condition
- Harnack inequalities for \(G\)-SDEs with multiplicative noise
- BSDEs driven by G-Brownian motion under degenerate case and its application to the regularity of fully nonlinear PDEs
- Multidimensional backward stochastic differential equation with generators under -order Mao's condition driven by G-Brownian motion
- Wellposedness of reflected G-BSDEs
- G-Bessel processes and related properties
- Multi-dimensional G-backward stochastic differential equations with random horizon
- The functional central limit theorem with mean uncertainty under the sublinear expectation
- Maximum principle for stochastic optimal control problem under convex expectation
- Dynamic programming principle for stochastic optimal control problem under degenerate G-expectation
- Infinite horizon quadratic backward stochastic differential equations driven by G-Brownian motion
- Central limit theorems for sub-linear expectation under the Lindeberg condition
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