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)

• 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
• 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
• \(G\)-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
• 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
• Stabilisation of SDEs and applications to synchronisation of stochastic neural network driven by G-Brownian motion with state-feedback control
• Upper Envelopes of Families of Feller Semigroups and Viscosity Solutions to a Class of Nonlinear Cauchy Problems
• 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
• 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
• G-Brownian Motion as Rough Paths and Differential Equations Driven by G-Brownian Motion
• Viscosity solutions of path-dependent integro-differential equations
• 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
• 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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