Independence under the G-expectation framework

DOI10.1007/S10959-012-0471-YzbMATH Open1310.60008OpenAlexW2467311758MaRDI QIDQ471533FDOQ471533

Authors: Xiaojuan Li, Mingshang Hu 

Publication date: 17 November 2014

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10959-012-0471-y

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zbMATH Keywords

\(G\)-Brownian motion\(G\)-expectationsublinear expectationmaximal distribution

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Stochastic integrals (60H05)

Cites Work

• Coherent measures of risk
• Robust Statistics
• Survey on normal distributions, central limit theorem, Brownian motion and the related stochastic calculus under sublinear expectations
• Nonlinear expectations and nonlinear Markov chains
• \(G\)-expectation, \(G\)-Brownian motion and related stochastic calculus of Itô type
• Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
• Filtration consistent nonlinear expectations and evaluations of contingent claims
• On representation theorem of \(G\)-expectations and paths of \(G\)-Brownian motion
• Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
• Martingale representation theorem for the \(G\)-expectation
• Some properties on \(G\)-evaluation and its applications to \(G\)-martingale decomposition
• Title not available (Why is that?)
• A complete representation theorem for \(G\)-martingales

Cited In (12)

• Epsilon-independence between two processes
• Maximally distributed random fields under sublinear expectation
• Exponential inequalities under the sub-linear expectations with applications to laws of the iterated logarithm
• An \(\alpha\)-stable limit theorem under sublinear expectation
• The price of independence in a model with unknown dependence
• Convergence rate of Peng's law of large numbers under sublinear expectations
• Lindeberg's central limit theorems for martingale like sequences under sub-linear expectations
• Successive approximation of SFDEs with finite delay driven by \(G\)-Brownian motion
• On the laws of the iterated logarithm with mean-uncertainty under sublinear expectations
• Donsker's invariance principle under the sub-linear expectation with an application to Chung's law of the iterated logarithm
• Concentration inequalities for upper probabilities
• A monotone scheme for \(\mathrm{G}\)-equations with application to the explicit convergence rate of robust central limit theorem

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