Non-linear expectations in spaces of Colombeau generalized functions

DOI10.1080/07362994.2019.1585265MaRDI QIDQ5378405zbMATH OpenOpenAlexWikidataFDO

Authors A. Filinkov, Robert J. Elliott

Publication date 12 June 2019

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://ap01.alma.exlibrisgroup.com/view/delivery/61USOUTHAUS_INST/12179544220001831

zbMATH Keywords

\(G\)-expectationbackward stochastic differential equationsColombeau algebrasgeneralized solutionsnon-linear heat equation

Mathematics Subject Classification ID

Generalized solutions to partial differential equations (35D99) Martingales with continuous parameter (60G44) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cites work

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• Generalized solutions to Cauchy problems
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• The pricing of options and corporate liabilities
• Uncertain volatility and the risk-free synthesis of derivatives

Cited in

(2)

• Martingale problem under nonlinear expectations
• Complete \(f\)-moment convergence for extended negatively dependent random variables under sub-linear expectations

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