Non-linear expectations in spaces of Colombeau generalized functions

DOI10.1080/07362994.2019.1585265MaRDI QIDQ5378405zbMATHOpenAlexWikidataFDO

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 equationsgeneralized solutionsColombeau algebrasnon-linear heat equation

Mathematics Subject Classification ID

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

Recommendations

• Filtration-consistent nonlinear expectations and related \(g\)-expectations
• scientific article; zbMATH DE number 5971068
• Backward stochastic differential equations with jumps and related nonlinear expectations
• scientific article; zbMATH DE number 1066320
• Representing filtration consistent nonlinear expectations as \(g\)-expectations in general probability spaces

Cites work

• scientific article; zbMATH DE number 1716306 (Why is no real title available?)
• scientific article; zbMATH DE number 5971068 (Why is no real title available?)
• scientific article; zbMATH DE number 3935741 (Why is no real title available?)
• scientific article; zbMATH DE number 18933 (Why is no real title available?)
• scientific article; zbMATH DE number 791171 (Why is no real title available?)
• A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
• An introduction to option pricing and the mathematical theory of risk
• Backward Stochastic Differential Equations in Finance
• Backward stochastic differential equations driven by \(G\)-Brownian motion
• Comparison theorem, Feynman-Kac formula and Girsanov transformation for BSDEs driven by \(G\)-Brownian motion
• Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
• Generalized solutions to Cauchy problems
• Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model
• Martingale representation theorem for the \(G\)-expectation
• Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
• Multiplication of distributions. A tool in mathematics, numerical engineering and theoretical physics
• Nonlinear expectations and nonlinear Markov chains
• Pricing and hedging derivative securities in markets with uncertain volatilities
• Survey on normal distributions, central limit theorem, Brownian motion and the related stochastic calculus under sublinear expectations
• The pricing of options and corporate liabilities
• Uncertain volatility and the risk-free synthesis of derivatives
• \(G\)-expectation, \(G\)-Brownian motion and related stochastic calculus of Itô type

Cited in

(2)

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

This page was built for publication: Non-linear expectations in spaces of Colombeau generalized functions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5378405)