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

zbMATH Open1131.60057arXivmath/0601035MaRDI QIDQ5436616FDOQ5436616

Publication date: 17 January 2008

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

Recommendations

Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
Extension and Application of Itô's Formula UnderG-Framework
Nonlinear expectations and stochastic calculus under uncertainty. With robust CLT and \(G\)-Brownian motion
Martingale characterization of \(G\)-Brownian motion
Stopping times and related Itô's calculus with \(G\)-Brownian motion

nonlinear expectation \(G\)-normal distribution BSDE SDE quadratic variation process Itô's stochastic calculus nonlinear 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)

Almost sure exponential stability of nonlinear stochastic delay hybrid systems driven by \(G\)-Brownian motion
Pantograph stochastic differential equations driven by \(G\)-Brownian motion
Delay-dependent asymptotic stability of highly nonlinear stochastic differential delay equations driven by \(G\)-Brownian motion
G-expected utility maximization with ambiguous equicorrelation
Wong-Zakai approximation for stochastic differential equations driven by \(G\)-Brownian motion
Stabilisation of multi-weights stochastic complex networks with time-varying delay driven by G-Brownian motion via aperiodically intermittent adaptive control
Complete convergence for arrays of row-wise ND random variables under sub-linear expectations
Reflected backward stochastic differential equation driven by \(G\)-Brownian motion with an upper obstacle
Viscosity solutions to Hamilton-Jacobi-Bellman equations associated with sublinear L\'evy(-type) processes
Gambling for resurrection and the heat equation on a triangle
Local wellposedness of coupled backward stochastic differential equations driven by \(G\)-Brownian motions
On nonlinear expectations and Markov chains under model uncertainty
Stochastic calculus with respect to \(G\)-Brownian motion viewed through rough paths
Reduced-form framework under model uncertainty
Complete convergence for weighted sums of negatively dependent random variables under the sub-linear expectations
Quasi-sure exponential stability and stabilisation of stochastic delay differential equations under G-expectation framework
Practical stability of impulsive stochastic delayed systems driven by G-Brownian motion
Multi-dimensional BSDEs driven by G-Brownian motion and related system of fully nonlinear PDEs
Complete integration convergence for arrays of rowwise extended negatively dependent random variables under the sub-linear expectations
\(G\)-SIRS model with logistic growth and nonlinear incidence
\(G\)-neutral stochastic differential equations with variable delay and non-Lipschitz coefficients
Lindeberg's central limit theorems for martingale like sequences under sub-linear expectations
Stability of square-mean almost automorphic mild solutions to impulsive stochastic differential equations driven by G-Brownian motion
Strong limit theorems for extended independent random variables and extended negatively dependent random variables under sub-linear expectations
Explicit positive solutions to \(G\)-heat equations and the application to \(G\)-capacities
Transport plans with domain constraints
Convergence to a self-normalized G-Brownian motion
On some conditions for strong law of large numbers for weighted sums of END random variables under sublinear expectations
Some types of convergence for negatively dependent random variables under sublinear expectations
Stability analysis of Hopfield neural networks with unbounded delay driven by G-Brownian motion
On stability of large-scale \(G\)-SDEs: a decomposition approach
Moderate deviations principle for independent random variables under sublinear expectations
Large deviation principle for random variables under sublinear expectations on \(\mathbb{R}^d\)
Exponential stability of neutral stochastic functional differential equations driven by G-Brownian motion
Lévy's martingale characterization and reflection principle of \(G\)-Brownian motion
Stability of neutral stochastic functional differential equations with Markovian switching driven by G-Brownian motion
Prokhorov Distance with Rates of Convergence under Sublinear Expectations
Limits of random walks with distributionally robust transition probabilities
New formulations of ambiguous volatility with an application to optimal dynamic contracting
Further results on stabilization of stochastic differential equations with delayed feedback control under \( G \)-expectation framework
An averaging principle for nonlinear parabolic PDEs via FBSDEs driven by \(G\)-Brownian motion
A strong law of large numbers for independent random variables under non-additive probabilities
Infinite horizon BSDEs under consistent nonlinear expectations
Exit times for semimartingales under nonlinear expectation
Nonparametric estimation of trend for stochastic processes driven by \(G\)-Brownian motion with small noise
Equivalent conditions of complete \(p\)th moment convergence for weighted sums of i. i. d. random variables under sublinear expectations
Quadratic \(G\)-BSDEs with convex generators and unbounded terminal conditions
Mean-field backward stochastic differential equations driven by G-Brownian motion with uniformly continuous coefficients
\( G\)-expectation approach to stochastic ordering
Several different types of convergence for ND random variables under sublinear expectations
Practical exponential stability of stochastic delayed systems with G-Brownian motion via vector G-Lyapunov function
A decomposition of general premium principles into risk and deviation
Robust stability and boundedness of stochastic differential equations with delay driven by G-Brownian motion
Upper Envelopes of Families of Feller Semigroups and Viscosity Solutions to a Class of Nonlinear Cauchy Problems
The convergence of the sums of independent random variables under the sub-linear expectations
Boundedness theorems for non-autonomous stochastic delay differential systems driven by \(G\)-Brownian motion
Mean-square stability of delayed stochastic neural networks with impulsive effects driven by \(G\)-Brownian motion
Convergence and asymptotical stability of numerical solutions for neutral stochastic delay differential equations driven by \(G\)-Brownian motion
Financial asset price bubbles under model uncertainty
The quasi-sure limit of convex combinations of nonnegative measurable functions
Itô's calculus under sublinear expectations via regularity of PDEs and rough paths
Three series theorem for independent random variables under sub-linear expectations with applications
Properties of \(G\)-martingales with finite variation and the application to \(G\)-Sobolev spaces
Extended conditional \(G\)-expectations and related stopping times
Law of large numbers and central limit theorem under nonlinear expectations
Pathwise superhedging on prediction sets
Stability analysis of stochastic pantograph multi-group models with dispersal driven by \(G\)-Brownian motion
Reflected forward-backward stochastic differential equations driven by \(G\)-Brownian motion with continuous monotone coefficients
A note on the exponential \(G\)-martingale
Marcinkiewicz-Zygmund laws of large numbers under sublinear expectation
A generalized stochastic differential utility driven by \(G\)-Brownian motion
Computation of optimal transport and related hedging problems via penalization and neural networks
The law of logarithm for arrays of random variables under sub-linear expectations
A worst-case risk measure by G-VaR
Exponential stability of SDEs driven by \(G\)-Brownian motion with delayed impulsive effects: average impulsive interval approach
Backward stochastic differential equations driven by \(G\)-Brownian motion with double reflections
An efficient numerical method for forward-backward stochastic differential equations driven by \(G\)-Brownian motion
Asymptotic optimality of the generalized \(c\mu\) rule under model uncertainty
Affine processes under parameter uncertainty
Robust valuation, arbitrage ambiguity and profit \& loss analysis
Quadratic BSDEs with mean reflection driven by G-brownian motion
The application of multi-dimensional Jensen’s inequality for G-martingale
Representation theorem for generators of BSDEs driven by \(G\)-Brownian motion and its applications
Kolmogorov-type and general extension results for nonlinear expectations
Supermartingale decomposition theorem under \(G\)-expectation
On infinitesimal generators of sublinear Markov semigroups
Strict comparison theorems under sublinear expectations
The support of the solution for stochastic differential equations driven by \(G\)-Brownian motion
BSDEs with mean reflection driven by \(G\)-Brownian motion
An invariance principle of strong law of large numbers under nonadditive probabilities
Reflected quadratic BSDEs driven by \(G\)-Brownian motions
BSDEs driven by \(G\)-Brownian motion with time-varying Lipschitz condition
Backward nonlinear expectation equations
Martingale problem under nonlinear expectations
Solutions of BSDEs with a kind of non-Lipschitz coefficients driven by \(G\)-Brownian motion
Asymptotic behaviors for delay Lotka-Volterra model disturbed by \(G\)-Brownian motion
Quantifying ambiguity bounds via time-consistent sets of indistinguishable models
A risk-neutral equilibrium leading to uncertain volatility pricing
Existence and stability of solutions to non-linear neutral stochastic functional differential equations in the framework of G-Brownian motion
Convergences of random variables under sublinear expectations

This page was built for publication: \(G\)-expectation, \(G\)-Brownian motion and related stochastic calculus of Itô type

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5436616)