scientific article; zbMATH DE number 5971068

zbMATH Open1233.60031MaRDI QIDQ3096569FDOQ3096569

Authors: Shige Peng 

Publication date: 11 November 2011

Full work available at URL: http://ebooks.worldscinet.com/ISBN/9789814324359/9789814324359_0019.html

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zbMATH Keywords

Brownian motion\(G\)-expectationbackward stochastic differential equationnonlinear expectationrisk measuresuper-hedging\(g\)-expectationparabolic partial differential equation\(g\)-martingale

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear parabolic equations (35K55) PDEs with randomness, stochastic partial differential equations (35R60)

Cited In (70)

• \(G\)-stochastic maximum principle for risk-sensitive control problem and its applications
• General indefinite backward stochastic linear-quadratic optimal control problems
• Stochastic maximum principle for fully coupled forward-backward stochastic differential equations driven by subdiffusion
• Explicit solution to delayed forward and backward stochastic differential equations
• Classical solution of path-dependent mean-field semilinear PDEs
• Backward Nonlinear Smoothing Diffusions
• Survey on path-dependent PDEs
• Non-linear expectations in spaces of Colombeau generalized functions
• Set-valued backward stochastic differential equations
• On \(g\)-expectations and filtration-consistent nonlinear expectations
• A dynamic analytic method for risk-aware controlled martingale problems
• A monotone scheme for \(\mathrm{G}\)-equations with application to the explicit convergence rate of robust central limit theorem
• Title not available (Why is that?)
• Path-dependent optimal stochastic control and viscosity solution of associated Bellman equations
• Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I.
• Stochastic differential games with random coefficients and stochastic Hamilton-Jacobi-Bellman-Isaacs equations
• Viscosity solutions of fully nonlinear parabolic path dependent PDEs. II
• Comparison theorem for nonlinear path-dependent partial differential equations
• Weak solution for a class of fully nonlinear stochastic Hamilton-Jacobi-Bellman equations
• Title not available (Why is that?)
• Multi-dimensional backward stochastic differential equations of diagonally quadratic generators
• Some Results on Nonlinear Backward Stochastic Evolution Equations
• Risk-sensitive nonzero-sum stochastic differential game with unbounded coefficients
• Viscosity solutions of stochastic Hamilton-Jacobi-Bellman equations
• Quadratic backward stochastic differential equations driven by \(G\)-Brownian motion: discrete solutions and approximation
• Jiongmin Yong's mathematical works in recent thirty years
• Stochastic ordering by \(g\)-expectations
• Backward stochastic differential equations with jumps and related nonlinear expectations
• Strong laws of large numbers for negatively dependent random variables under sublinear expectations
• Path-dependent Hamilton-Jacobi equations in infinite dimensions
• One kind of multiple dimensional Markovian BSDEs with stochastic linear growth generators
• Convergence of utility indifference prices to the superreplication price in a multiple‐priors framework
• Backward stochastic differential equations with regime-switching and sublinear expectations
• Measurability of semimartingale characteristics with respect to the probability law
• Nonlinear Lévy processes and their characteristics
• Kernel learning backward SDE filter for data assimilation
• The link between stochastic differential equations with non-Markovian coefficients and backward stochastic partial differential equations
• On monotonicity and order-preservation for multidimensional \(G\)-diffusion processes
• Comparison theorems for finite state backward stochastic differential equations
• A weak version of path-dependent functional Itô calculus
• Nonlinear expectations and stochastic calculus under uncertainty. With robust CLT and \(G\)-Brownian motion
• Viscosity solutions of path-dependent integro-differential equations
• Quadratic BSDEs with mean reflection driven by G-brownian motion
• Asymptotic moment estimation for stochastic Lotka-Volterra model driven by \(G\)-Brownian motion
• Characterizations of processes with stationary and independent increments under \(G\)-expectation
• On viscosity solutions of path dependent PDEs
• BSDE, path-dependent PDE and nonlinear Feynman-Kac formula
• Nash equilibrium points of recursive nonzero-sum stochastic differential games with unbounded coefficients and related multiple dimensional bsdes
• No-arbitrage with multiple-priors in discrete time
• \(G\)-expectation weighted Sobolev spaces, backward SDE and path dependent PDE
• Strict comparison theorems under sublinear expectations
• Dynamic programming for general linear quadratic optimal stochastic control with random coefficients
• A martingale approach for fractional Brownian motions and related path dependent PDEs
• Reflected quadratic BSDEs driven by \(G\)-Brownian motions
• Indefinite Backward Stochastic Linear-Quadratic Optimal Control Problems
• Backward stochastic Volterra integral equations -- representation of adapted solutions
• Optimal stopping under adverse nonlinear expectation and related games
• Infinite dimensional BSDE with jumps
• Numerical methods for backward stochastic differential equations: a survey
• Viscosity solutions of path-dependent PDEs with randomized time
• Stochastic optimization theory of backward stochastic differential equations driven by G-Brownian motion
• Comparisons for backward stochastic differential equations on Markov chains and related no-arbitrage conditions
• Jensen's inequality for backward SDEs driven by \(G\)-Brownian motion
• Random \(G\)-expectations
• Asymptotic behaviors for delay Lotka-Volterra model disturbed by \(G\)-Brownian motion
• Backward stochastic Riccati equation with jumps associated with stochastic linear quadratic optimal control with jumps and random coefficients
• Solutions to BSDEs driven by both fractional Brownian motions and the underlying standard Brownian motions
• Theory, methods and meaning of nonlinear expectation theory
• Path dependent Feynman-Kac formula for forward backward stochastic Volterra integral equations
• Uniqueness of viscosity solutions of stochastic Hamilton-Jacobi equations

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