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

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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 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
Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
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
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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

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