Numerical simulations for G-Brownian motion
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Cites work
- scientific article; zbMATH DE number 54145 (Why is no real title available?)
- A monotone scheme for high-dimensional fully nonlinear PDEs
- A probabilistic numerical method for fully nonlinear parabolic PDEs
- An algorithmic introduction to numerical simulation of stochastic differential equations
- Backward stochastic differential equations driven by \(G\)-Brownian motion
- Coherent measures of risk
- Comparison theorem, Feynman-Kac formula and Girsanov transformation for BSDEs driven by \(G\)-Brownian motion
- Discrete-time probabilistic approximation of path-dependent stochastic control problems
- Exponential stability for stochastic differential equation driven by G-Brownian motion
- Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
- Introduction to Numerical Methods in Differential Equations
- Martingale characterization of \(G\)-Brownian motion
- Martingale representation theorem for the \(G\)-expectation
- Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
- New kinds of high-order multistep schemes for coupled forward backward stochastic differential equations
- On representation theorem of \(G\)-expectations and paths of \(G\)-Brownian motion
- Pathwise properties and homeomorphic flows for stochastic differential equations driven by \(G\)-Brownian motion
- Pricing and hedging derivative securities in markets with uncertain volatilities
- Some properties on \(G\)-evaluation and its applications to \(G\)-martingale decomposition
- Stochastic differential equations driven by \(G\)-Brownian motion with reflecting boundary conditions
- Stopping times and related Itô's calculus with \(G\)-Brownian motion
- Survey on normal distributions, central limit theorem, Brownian motion and the related stochastic calculus under sublinear expectations
- Tools for computational finance
- \(G\)-expectation, \(G\)-Brownian motion and related stochastic calculus of Itô type
Cited in
(13)- Exponential stability of \(\theta\)-method for stochastic differential equations in the \(G\)-framework
- Numerical simulation of multi dimensional reflecting geometrical Brownian motion and its application to mathematical finance
- scientific article; zbMATH DE number 1076107 (Why is no real title available?)
- Pathwise convergence under Knightian uncertainty
- Convergence and asymptotical stability of numerical solutions for neutral stochastic delay differential equations driven by \(G\)-Brownian motion
- An efficient numerical method for forward-backward stochastic differential equations driven by \(G\)-Brownian motion
- Convergence of the Euler-Maruyama method for stochastic differential equations driven by \(G\)-Brownian motion
- Simulation of Brownian motion by truncated multiplicative functions
- Robust mean-variance hedging via \(G\)-expectation
- Stability equivalence between the stochastic differential delay equations driven by \(G\)-Brownian motion and the Euler-Maruyama method
- Numerical stability of the method of Brownian configuration fields
- Existence of relaxed optimal control for \(G\)-neutral stochastic functional differential equations with uncontrolled diffusion
- Discrete-time approximation for backward stochastic differential equations driven by \(G\)-Brownian motion
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