The modulus of continuity theorem for G-Brownian motion

DOI10.1080/03610926.2015.1066816MaRDI QIDQ4976236zbMATH OpenOpenAlexFDO

Authors Feng Hu

Publication date 27 July 2017

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2015.1066816

zbMATH Keywords

capacity\(G\)-Brownian motionmodulus of continuitysublinear expectation\(G\)-normal distribution

Mathematics Subject Classification ID

Brownian motion (60J65) Generalizations of martingales (60G48) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cites work

• A general central limit theorem under sublinear expectations
• Central limit theorem for capacities
• Coherent measures of risk
• Convex measures of risk and trading constraints
• Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
• Large deviations for stochastic differential equations driven by \(G\)-Brownian motion
• Martingale characterization of \(G\)-Brownian motion
• Martingale representation theorem for the \(G\)-expectation
• Moment bounds for IID sequences under sublinear expectations
• Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
• On Cramér's theorem for capacities
• Pathwise properties and homeomorphic flows for stochastic differential equations driven by G-Brownian motion
• Properties of hitting times for G-martingales and their applications
• Some properties on \(G\)-evaluation and its applications to \(G\)-martingale decomposition
• Survey on normal distributions, central limit theorem, Brownian motion and the related stochastic calculus under sublinear expectations
• Theory of capacities

Cited in

(11)

• The uniform modulus of continuity of iterated Brownian motion
• A functional modulus of continuity for Brownian motion
• A generalization of Strassen's law and Lévy's modulus of continuity for $\boldsymbol{G}$-Brownian motion
• Stability analysis of stochastic pantograph multi-group models with dispersal driven by \(G\)-Brownian motion
• Disturbance observer based control for dynamically positioned ships with ocean environmental disturbances and actuator saturation
• Brownian continuity modulus via series expansions
• Sobolev-type stochastic differential equations driven by \(G\)-Brownian motion
• Stability of square-mean almost automorphic mild solutions to impulsive stochastic differential equations driven by G-Brownian motion
• How big are the increments of \(G\)-Brownian motion?
• \(L^{p}\) solutions of infinite time interval backward doubly stochastic differential equations under monotonicity and general increasing conditions
• A deviation inequality for increment of a \(G\)-Brownian motion under \(G\)-expectation and applications

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