G-expectation, G-Brownian motion and related stochastic calculus of Itô type
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\(G\)-expectation, \(G\)-Brownian motion and related stochastic calculus of Itô type
\(G\)-expectation, \(G\)-Brownian motion and related stochastic calculus of Itô type
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Cited in
(only showing first 100 items - show all)- A strong law of large numbers under sublinear expectations
- Upper Envelopes of Families of Feller Semigroups and Viscosity Solutions to a Class of Nonlinear Cauchy Problems
- Strong convergence for weighted sums of general normalizing dependent random variables under sublinear expectations
- Central limit theorems for sub-linear expectation under the Lindeberg condition
- Theory, methods and meaning of nonlinear expectation theory
- Central limit theorem under uncertain linear transformations
- Reflected stochastic differential equations driven by G-Brownian motion with nonlinear resistance
- Complete convergence for m -widely acceptable random variables under sub-linear expectations
- The risk transfer of non-tradable risks under model uncertainty
- The convergence of the sums of independent random variables under the sub-linear expectations
- Boundedness and stability analysis for impulsive stochastic differential equations driven by G-Brownian motion
- Forward-backward stochastic differential equations driven by \(G\)-Brownian motion under weakly coupling condition
- Boundedness analysis of stochastic distributed delay-coupled systems on networks driven by G -Brownian motion
- Capacity inequalities and strong laws for \(m\)-widely acceptable random variables under sub-linear expectations
- Almost sure exponential stability of nonlinear stochastic delay hybrid systems driven by \(G\)-Brownian motion
- Differentiability of \(G\)-neutral stochastic differential equations with respect to parameter
- Capital structure and risk acceptability
- Precise asymptotics for maxima of partial sums under sub-linear expectation
- Second-order BSDEs with jumps: formulation and uniqueness
- Multiple G-Itō integral in G-expectation space
- Equivalent conditions of complete convergence and Marcinkiewicz-Zygmund-type strong law of large numbers for i.i.d. sequences under sub-linear expectations
- Pantograph stochastic differential equations driven by \(G\)-Brownian motion
- Distributional Uncertainty of the Financial Time Series Measured by G-Expectation
- Strong law of large numbers for upper set-valued and fuzzy-set valued probability
- On relaxed stochastic optimal control for stochastic differential equations driven by G-Brownian motion
- 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
- Stochastic optimal control problem with infinite horizon driven by G-Brownian motion
- Discrete‐time approximation for stochastic optimal control problems under the G‐expectation framework
- Exponential stability of solutions to impulsive stochastic differential equations driven by G-Brownian motion
- Gradient estimates for nonlinear diffusion semigroups by coupling methods
- On the existence and uniqueness of solutions to stochastic differential equations driven by \(G\)-Brownian motion with integral-Lipschitz coefficients
- Precise asymptotics for complete integral convergence in the law of iterated logarithm under the sub-linear expectations
- Delay-dependent asymptotic stability of highly nonlinear stochastic differential delay equations driven by G-Brownian motion
- Complete convergence for arrays of rowwise END random variables and its statistical applications under sub-linear expectations
- Convergence and asymptotical stability of numerical solutions for neutral stochastic delay differential equations driven by \(G\)-Brownian motion
- Properties of hitting times for G-martingales and their applications
- Nonlinear continuous semimartingales
- Financial asset price bubbles under model uncertainty
- Stochastic motion under G-framework. I: Nelson stochastic derivatives
- Distributionally robust optimization
- Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
- 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
- The quasi-sure limit of convex combinations of nonnegative measurable functions
- Approximations and asymptotics of upper hedging prices in multinomial models
- Mean-field stochastic differential equations driven by \(G\)-Brownian motion
- Local time and Tanaka formula for the G-Brownian motion
- Harnack inequalities for \(G\)-SDEs with multiplicative noise
- Complete convergence theorems for arrays of row-wise extended negatively dependent random variables under sub-linear expectations
- BSDEs driven by G-Brownian motion under degenerate case and its application to the regularity of fully nonlinear PDEs
- Some stabilities of stochastic differential equations with delay in the G-framework and Euler-Maruyama method
- A law of large numbers under the nonlinear expectation
- Pathwise properties and homeomorphic flows for stochastic differential equations driven by G-Brownian motion
- A generalized stochastic process: fractional G-Brownian motion
- Stability of neutral stochastic functional differential equations with Markovian switching driven by \(G\)-Brownian motion
- Exponential stability of neutral stochastic functional differential equations driven by G-Brownian motion
- A note on the stochastic differential equations driven by \(G\)-Brownian motion
- Quadratic backward stochastic differential equations driven by \(G\)-Brownian motion: discrete solutions and approximation
- Maximally distributed random fields under sublinear expectation
- Itô's calculus under sublinear expectations via regularity of PDEs and rough paths
- Dynamic programming principle and Hamilton-Jacobi-Bellman equation under nonlinear expectation
- Mean-field backward stochastic differential equations driven by \(G\)-Brownian motion with uniformly continuous coefficients
- Some inequalities and limit theorems under sublinear expectations
- G-expected utility maximization with ambiguous equicorrelation
- 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
- Exponential stability for stochastic differential equation driven by G-Brownian motion
- Weak laws of large numbers for weighted sums of arrays of random variables under sublinear expectation
- Wong-Zakai approximation for stochastic differential equations driven by \(G\)-Brownian motion
- Convergence for sums of i.i.d. random variables under sublinear expectations
- Complete convergence and complete integral convergence for randomly weighted sums under the sublinear expectations
- Complete convergence for weighted sums of widely negative dependent random variables under the sub-linear expectations
- Practical stability analysis of stochastic functional differential systems with G-Brownian motion and impulsive effects
- Extended conditional \(G\)-expectations and related stopping times
- Ambiguous volatility, possibility and utility in continuous time
- Reflected backward stochastic differential equation driven by \(G\)-Brownian motion with an upper obstacle
- The filtering problem for stochastic systems driven by G-Brownian motion
- Robust market convergence: from discrete to continuous time
- Quantiles under the sub-linear expectations
- A strong law of large numbers for weighted sums of i.i.d. random variables under capacities
- G-stochastic maximum principle for risk-sensitive control problem and its applications
- Limit theorems for delayed sums under sublinear expectation
- Existence and exponential stability of almost pseudo automorphic solution for neutral stochastic evolution equations driven by G-Brownian motion
- Limiting behaviors for weighted sums of residually h-integrable random variables under sublinear expectations
- Exponential inequalities under the sub-linear expectations with applications to laws of the iterated logarithm
- Law of large numbers and central limit theorem under nonlinear expectations
- Complete convergence for arrays of row-wise ND random variables under sub-linear expectations
- A conditional version of the second fundamental theorem of asset pricing in discrete time
- Central limit theorem for capacities
- Large deviations for stochastic differential equations driven by \(G\)-Brownian motion
- Strong laws of large numbers for sublinear expectation under controlled 1st moment condition
- On properties of solutions to Black-Scholes-Barenblatt equations
- Pathwise superhedging on prediction sets
- Complete moment convergence for weighted sums of negatively dependent random variables under sub-linear expectations
- Mean-field forward-backward stochastic differential equations driven by G-Brownian motion
- Stability analysis of stochastic pantograph multi-group models with dispersal driven by \(G\)-Brownian motion
- On complete convergence for weighted sums of m -widely acceptable random variables under sub-linear expectations and its statistical applications
- Maximum principle for stochastic optimal control problem under convex expectation
- Reflected solutions of backward stochastic differential equations driven by \(G\)-Brownian motion
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