On the capacity for degenerated \(G\)-Brownian motion and its application

DOI10.1214/23-ECP565zbMath1528.60053OpenAlexW4388917364MaRDI QIDQ6177639

Xiaojuan Li, Xinpeng Li

Publication date: 17 January 2024

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/23-ecp565

zbMATH Keywords

quasi-continuityviscosity solution\(G\)-Brownian motion\(G\)-expectation\(G\)-capacity

Mathematics Subject Classification ID

Nonlinear elliptic equations (35J60) Oscillation, zeros of solutions, mean value theorems, etc. in context of PDEs (35B05) Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65)

Cites Work

• Unnamed Item
• Quasi-continuous random variables and processes under the \(G\)-expectation framework
• Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
• A worst-case risk measure by G-VaR
• Explicit positive solutions to \(G\)-heat equations and the application to \(G\)-capacities
• On Shige Peng's central limit theorem
• Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
• User’s guide to viscosity solutions of second order partial differential equations
• Nonlinear Expectations and Stochastic Calculus under Uncertainty

This page was built for publication: On the capacity for degenerated \(G\)-Brownian motion and its application