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

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

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
• 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
• 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
• 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
• 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
• Nonlinear Lévy processes and their characteristics
• Robust Markowitz mean‐variance portfolio selection under ambiguous covariance matrix
• \(p\)-moment stability of solutions to stochastic differential equations driven by \(G\)-Brownian motion
• Stochastic integration and differential equations for typical paths
• Some properties of stochastic differential equations driven by the \(G\)-Brownian motion
• Differentiability of stochastic differential equations driven by the \(G\)-Brownian motion
• Title not available (Why is that?)
• Characterizations of processes with stationary and independent increments under \(G\)-expectation
• BSDEs driven by \(G\)-Brownian motion with non-Lipschitz coefficients
• Periodic dynamics for nonlocal Hopfield neural networks with random initial data
• Superreplication under model uncertainty in discrete time
• A hypothesis-testing perspective on the \(G\)-normal distribution theory
• Stochastic optimal control problem with infinite horizon driven by G-Brownian motion
• Independence under the \(G\)-expectation framework
• Risk measuring under model uncertainty
• BSDE, path-dependent PDE and nonlinear Feynman-Kac formula
• Constructing sublinear expectations on path space

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)