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)

• 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
• Stabilization of stochastic differential equations driven by G-Lévy process with discrete-time feedback control
• 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
• Stabilisation of stochastic differential equations driven by \(G\)-Brownian motion via aperiodically intermittent control
• Improved results on stabilization of \(G\)-SDEs by feedback control based on discrete-time observations
• Exponential stability of SDEs driven by \(G\)-Brownian motion with delayed impulsive effects: average impulsive interval approach
• Stability of delayed Hopfield neural networks under a sublinear expectation framework
• Asymptotical boundedness for stochastic coupled systems on networks driven by \(G\)-Brownian motion
• Backward stochastic differential equations driven by \(G\)-Brownian motion with double reflections
• Affine processes under parameter uncertainty
• Robust valuation, arbitrage ambiguity and profit \& loss analysis
• Quasi-sure exponential stabilization of stochastic systems induced by \(G\)-Brownian motion with discrete time feedback control
• Quadratic BSDEs with mean reflection driven by G-brownian motion
• 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
• Asymptotical boundedness and stability for stochastic differential equations with delay driven by \(G\)-Brownian motion
• Almost periodic solutions for stochastic differential equations driven by \(G\)-Brownian motion
• On infinitesimal generators of sublinear Markov semigroups
• Strict comparison theorems under sublinear expectations
• General martingale characterization of \(G\)-Brownian motion
• 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
• The application of multi-dimensional Jensen's inequality for \(G\)-martingale
• 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
• On the asymptotic approximation of inverse moment under sub-linear expectations
• Exponential stability of solutions to stochastic differential equations driven by \(G\)-Lévy process
• Theory, methods and meaning of nonlinear expectation theory
• An upper bound of large deviations for capacities
• The pricing of Asian options in uncertain volatility model
• Forward-backward stochastic differential equations driven by \(G\)-Brownian motion under weakly coupling condition
• 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

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