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

DOI10.1016/J.NA.2012.08.002zbMATH Open1272.60034arXiv0907.2748OpenAlexW2083759962MaRDI QIDQ714486FDOQ714486

Mingshang Hu

Publication date: 11 October 2012

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

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.

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)

Cites Work

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Cited In (8)

• BSDEs driven by \(G\)-Brownian motion under degenerate case and its application to the regularity of fully nonlinear PDEs
• G-Gaussian processes under sublinear expectations and \(q \)-Brownian motion in quantum mechanics
• A worst-case risk measure by G-VaR
• An efficient numerical method for forward-backward stochastic differential equations driven by \(G\)-Brownian motion
• 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

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