Numerical simulations for G-Brownian motion
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Publication:335585
DOI10.1007/S11464-016-0504-9zbMATH Open1348.65011OpenAlexW2494258185MaRDI QIDQ335585FDOQ335585
Authors: Jie Yang, Weidong Zhao 
Publication date: 2 November 2016
Published in: Frontiers of Mathematics in China (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11464-016-0504-9
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\(G\)-Brownian motionnonlinear expectation\(G\)-normal distributionHamilton-Jacobi-Bellman (HJB) equation
Probabilistic models, generic numerical methods in probability and statistics (65C20) Brownian motion (60J65) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)
Cites Work
- Coherent measures of risk
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- Survey on normal distributions, central limit theorem, Brownian motion and the related stochastic calculus under sublinear expectations
- Stochastic differential equations driven by \(G\)-Brownian motion with reflecting boundary conditions
- Pricing and hedging derivative securities in markets with uncertain volatilities
- \(G\)-expectation, \(G\)-Brownian motion and related stochastic calculus of Itô type
- Stopping times and related Itô's calculus with \(G\)-Brownian motion
- Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
- A probabilistic numerical method for fully nonlinear parabolic PDEs
- Pathwise properties and homeomorphic flows for stochastic differential equations driven by \(G\)-Brownian motion
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- Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
- An algorithmic introduction to numerical simulation of stochastic differential equations
- Martingale representation theorem for the \(G\)-expectation
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- Martingale characterization of \(G\)-Brownian motion
- Backward stochastic differential equations driven by \(G\)-Brownian motion
- Comparison theorem, Feynman-Kac formula and Girsanov transformation for BSDEs driven by \(G\)-Brownian motion
- Some properties on \(G\)-evaluation and its applications to \(G\)-martingale decomposition
- A monotone scheme for high-dimensional fully nonlinear PDEs
- New Kinds of High-Order Multistep Schemes for Coupled Forward Backward Stochastic Differential Equations
- Introduction to Numerical Methods in Differential Equations
- Tools for computational finance
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Cited In (13)
- Existence of relaxed optimal control for $G$-neutral stochastic functional differential equations with uncontrolled diffusion
- Convergence and asymptotical stability of numerical solutions for neutral stochastic delay differential equations driven by \(G\)-Brownian motion
- Simulation of Brownian motion by truncated multiplicative functions
- Title not available (Why is that?)
- Numerical simulation of multi dimensional reflecting geometrical Brownian motion and its application to mathematical finance
- Stability equivalence between the stochastic differential delay equations driven by \(G\)-Brownian motion and the Euler-Maruyama method
- 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
- Robust mean-variance hedging via \(G\)-expectation
- Exponential stability of \(\theta\)-method for stochastic differential equations in the \(G\)-framework
- Discrete-time approximation for backward stochastic differential equations driven by \(G\)-Brownian motion
- Numerical stability of the method of Brownian configuration fields
- Pathwise convergence under Knightian uncertainty
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