G-expectation, G-Brownian motion and related stochastic calculus of Itô type

zbMATH Open1131.60057arXivmath/0601035MaRDI QIDQ5436616FDOQ5436616

Authors: Shige Peng 

Publication date: 17 January 2008

Full work available at URL: https://arxiv.org/abs/math/0601035

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zbMATH Keywords

nonlinear expectation\(G\)-normal distributionBSDESDEquadratic variation processItô's stochastic calculusnonlinear probability theory

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Brownian motion (60J65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear parabolic equations (35K55) Stochastic integrals (60H05) Continuity and singularity of induced measures (60G30)

Cited In (only showing first 100 items - show all)

• Central limit theorems for sub-linear expectation under the Lindeberg condition
• Equivalent conditions of complete convergence and Marcinkiewicz-Zygmund-type strong law of large numbers for i.i.d. sequences under sub-linear expectations
• Discrete‐time approximation for stochastic optimal control problems under the G‐expectation framework
• Gradient estimates for nonlinear diffusion semigroups by coupling methods
• Good deal hedging and valuation under combined uncertainty about drift and volatility
• Game-theoretic derivation of upper hedging prices of multivariate contingent claims and submodularity
• Approximations and asymptotics of upper hedging prices in multinomial models
• Dynamic programming principle and Hamilton-Jacobi-Bellman equation under nonlinear expectation
• Quadratic backward stochastic differential equations driven by \(G\)-Brownian motion: discrete solutions and approximation
• Some inequalities and limit theorems under sublinear expectations
• Convergence for sums of i.i.d. random variables under sublinear expectations
• On properties of solutions to Black-Scholes-Barenblatt equations
• Strong laws of large numbers for sublinear expectation under controlled 1st moment condition
• Markov chains under nonlinear expectation
• Exponential inequalities under sub-linear expectations with applications to strong law of large numbers
• Stochastic optimal control problem with obstacle constraints in sublinear expectation framework
• Backward stochastic differential equations with regime-switching and sublinear expectations
• Girsanov theorem for \(G\)-Brownian motion: the degenerate case
• Stability equivalence between the stochastic differential delay equations driven by \(G\)-Brownian motion and the Euler-Maruyama method
• Equilibrium prices and trade under ambiguous volatility
• Jensen inequality for superlinear expectations
• Convergence rate of Peng's law of large numbers under sublinear expectations
• Machine learning approximation algorithms for high-dimensional fully nonlinear partial differential equations and second-order backward stochastic differential equations
• A central limit theorem for \(m\)-dependent random variables under sublinear expectations
• Normal approximation by Stein's method under sublinear expectations
• Complete convergence and complete moment convergence for weighted sums of extended negatively dependent random variables under sub-linear expectation
• Path independence of additive functionals for stochastic differential equations under \(G\)-framework
• Viscosity solutions of path-dependent integro-differential equations
• Ergodic BSDEs driven by \(G\)-Brownian motion and applications
• Invariance principles for the law of the iterated logarithm under \(G\)-framework
• Characterizations of processes with stationary and independent increments under \(G\)-expectation
• Stochastic maximum principle for stochastic recursive optimal control problem under volatility ambiguity
• Weak approximation of second-order BSDEs
• Portfolio optimization with ambiguous correlation and stochastic volatilities
• Strong laws of large numbers for general random variables in sublinear expectation spaces
• Martingale inequalities under \(G\)-expectation and their applications
• Ergodicity of sublinear Markovian semigroups
• Forward-backward doubly stochastic systems and classical solutions of path-dependent stochastic PDEs
• Maximum principle for forward-backward stochastic control system under \(G\)-expectation and relation to dynamic programming
• \(k\)-sample upper expectation linear regression-modeling, identifiability, estimation and prediction
• Girsanov's formula for \(G\)-Brownian motion
• Stochastic maximum principle for optimal control problem under G-expectation utility
• A semigroup approach to nonlinear Lévy processes
• Inf-convolution of \(G\)-expectations
• Kunita-Watanabe inequalities and Tanaka formula for multi-dimensional G-Brownian motion
• A note on \(G\)-normal distributions
• Strong law of large numbers under moment restrictions in sublinear expectation spaces
• Robust mean-variance hedging via \(G\)-expectation
• Harnack inequality and gradient estimate for functional \(G\)-SDEs with degenerate noise
• Complete convergence and strong law of large numbers for arrays of random variables under sublinear expectations
• Chaotic expansion in the \(G\)-expectation space
• Homeomorphism flows for SDEs driven by \(G\)-Brownian motion with non-Lipschitz coefficients
• Backward stochastic differential equations driven by \(G\)-Brownian motion with uniformly continuous generators
• Backward stochastic differential equations driven by \(G\)-Brownian motion with uniformly continuous coefficients in \((y, z)\)
• Stochastic optimization theory of backward stochastic differential equations driven by G-Brownian motion
• Jensen's inequality for \(g\)-convex function under \(g\)-expectation
• Stability analysis of impulsive stochastic Cohen-Grossberg neural networks driven by \(G\)-Brownian motion
• Concentration inequalities for upper probabilities
• \(G\)-Brownian motion as rough paths and differential equations driven by \(G\)-Brownian motion
• Asymptotic estimates for the solution of stochastic differential equations driven by G-Brownian motion
• Stabilization of stochastic differential equations driven by \(G\)-Brownian motion with feedback control based on discrete-time state observation
• Exponential utility maximization under model uncertainty for unbounded endowments
• Local time and Tanaka formula of \(G\)-martingales
• Central limit theorems for bounded random variables under belief measures
• Boundedness and stability analysis for impulsive stochastic differential equations driven by \(G\)-Brownian motion
• The risk transfer of non-tradable risks under model uncertainty
• Central limit theorem under uncertain linear transformations
• Reflected stochastic differential equations driven by \(G\)-Brownian motion with nonlinear resistance
• Stochastic optimal control problem with infinite horizon driven by \(G\)-Brownian motion
• Strong law of large numbers for upper set-valued and fuzzy-set valued probability
• Second-order BSDEs with jumps: formulation and uniqueness
• Multiple \(G\)-Itō integral in \(G\)-expectation space
• Exponential stability of solutions to impulsive stochastic differential equations driven by \(G\)-Brownian motion
• On the existence and uniqueness of solutions to stochastic differential equations driven by \(G\)-Brownian motion with integral-Lipschitz coefficients
• Mean-field stochastic differential equations driven by \(G\)-Brownian motion
• Properties of hitting times for \(G\)-martingales and their applications
• A generalized stochastic process: fractional \(G\)-Brownian motion
• Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
• Local time and Tanaka formula for the \(G\)-Brownian motion
• Pathwise properties and homeomorphic flows for stochastic differential equations driven by \(G\)-Brownian motion
• A law of large numbers under the nonlinear expectation
• A note on the stochastic differential equations driven by \(G\)-Brownian motion
• Exponential stability for stochastic differential equation driven by G-Brownian motion
• Ambiguous volatility, possibility and utility in continuous time
• Exponential inequalities under the sub-linear expectations with applications to laws of the iterated logarithm
• Central limit theorem for capacities
• Large deviations for stochastic differential equations driven by \(G\)-Brownian motion
• Reflected solutions of backward stochastic differential equations driven by \(G\)-Brownian motion
• Backward SDEs and infinite horizon stochastic optimal control
• Quasi-continuous random variables and processes under the \(G\)-expectation framework
• Stopping times and related Itô's calculus with \(G\)-Brownian motion
• Reflected stochastic differential equations driven by \(G\)-Brownian motion in non-convex domains
• Sobolev-type stochastic differential equations driven by \(G\)-Brownian motion
• Backward SDE representation for stochastic control problems with nondominated controlled intensity
• Continuous-time trading and the emergence of probability
• Stochastic differential equations with perturbations driven by \(G\)-Brownian motion
• Probabilistic approach to singular perturbations of viscosity solutions to nonlinear parabolic PDEs
• A stochastic recursive optimal control problem under the G-expectation framework
• Rosenthal's inequalities for independent and negatively dependent random variables under sub-linear expectations with applications
• Strong laws of large numbers for sub-linear expectations

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