Explicit solutions of the G-heat equation for a class of initial conditions

DOI10.1016/J.NA.2012.08.002MaRDI QIDQ714486zbMATH OpenOpenAlexFDO

Authors Mingshang Hu

Publication date 11 October 2012

Published in Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0907.2748

zbMATH Keywords

\(G\)-Brownian motion\(G\)-heat equation

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Infinitely divisible distributions; stable distributions (60E07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear parabolic equations (35K55) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Stochastic integrals (60H05) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Abstract: We obtain the viscosity solution of G-heat equation with the initial condition $phi(x)=x^n$ for each integer $ngeq1$ using the method of G-Brownian motion.

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• scientific article; zbMATH DE number 4004696 (Why is no real title available?)
• scientific article; zbMATH DE number 1063671 (Why is no real title available?)
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• Filtration consistent nonlinear expectations and evaluations of contingent claims
• Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
• Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
• On the regularity theory of fully nonlinear parabolic equations: II
• Self-similar solutions of the second kind in nonlinear filtration
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(10)

• BSDEs driven by \(G\)-Brownian motion under degenerate case and its application to the regularity of fully nonlinear PDEs
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• The logistic-normal integral and its generalizations
• Uncertainty orders on the sublinear expectation space
• Explicit positive solutions to \(G\)-heat equations and the application to \(G\)-capacities
• Robust mean-variance hedging via \(G\)-expectation
• Discrete-time approximation for backward stochastic differential equations driven by \(G\)-Brownian motion
• On some potential applications of the heat equation with a repulsive point interaction to derivative pricing

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