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

zbMATH Open1131.60057arXivmath/0601035MaRDI QIDQ5436616FDOQ5436616

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
• 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
• Almost Periodic Solutions for Stochastic Differential Equations Driven By G-Brownian Motion
• On the asymptotic approximation of inverse moment under sub-linear expectations
• Stabilisation of SDEs and applications to synchronisation of stochastic neural network driven by G-Brownian motion with state-feedback control
• Exponential stability of solutions to stochastic differential equations driven by \(G\)-Lévy process
• 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
• Ergodicity of Sublinear Markovian Semigroups
• 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
• Stabilization of stochastic differential equations driven by G-Lévy process with discrete-time feedback control
• Exponential inequalities under sub-linear expectations with applications to strong law of large numbers
• Homeomorphism flows for SDEs driven by G-Brownian motion with non-Lipschitz coefficients
• 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
• Stability of delayed Hopfield neural networks under a sublinear expectation framework
• Asymptotical boundedness for stochastic coupled systems on networks driven by \(G\)-Brownian motion
• G-Brownian Motion as Rough Paths and Differential Equations Driven by G-Brownian Motion
• Viscosity solutions of path-dependent integro-differential equations
• Quasi-sure exponential stabilization of stochastic systems induced by \(G\)-Brownian motion with discrete time feedback control
• Invariance principles for the law of the iterated logarithm under \(G\)-framework
• 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
• Stability analysis of impulsive stochastic Cohen–Grossberg neural networks driven by G-Brownian motion
• Martingale inequalities under \(G\)-expectation and their applications
• Forward-backward doubly stochastic systems and classical solutions of path-dependent stochastic PDEs
• Asymptotic estimates for the solution of stochastic differential equations driven By G-Brownian motion
• 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

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