Strict comparison theorems under sublinear expectations

DOI10.1007/S00013-017-1098-0MaRDI QIDQ1674893zbMATH OpenOpenAlexFDO

Authors Xinpeng Li, Yiqing Lin

Publication date 26 October 2017

Published in Archiv der Mathematik (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00013-017-1098-0

zbMATH Keywords

\(G\)-expectationcapacityKrylov-Safonov estimatesstrict comparison theorems

Mathematics Subject Classification ID

Comparison principles in context of PDEs (35B51) Second-order parabolic equations (35K10) Probabilistic measure theory (60A10)

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Cites work

• G-expectation, G-Brownian motion and related stochastic calculus of Itô type
• A CERTAIN PROPERTY OF SOLUTIONS OF PARABOLIC EQUATIONS WITH MEASURABLE COEFFICIENTS
• Financial markets with volatility uncertainty
• Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
• scientific article; zbMATH DE number 5971068 (Why is no real title available?)
• scientific article; zbMATH DE number 4004696 (Why is no real title available?)
• scientific article; zbMATH DE number 1066320 (Why is no real title available?)
• Minimax tests and the Neyman-Pearson lemma for capacities
• Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectation
• Nonlinear expectations and stochastic calculus under uncertainty. With robust CLT and G-Brownian motion
• On representation theorem of \(G\)-expectations and paths of \(G\)-Brownian motion
• Theory of capacities
• User’s guide to viscosity solutions of second order partial differential equations

Cited in

(2)

• Notes on Peng's independence in sublinear expectation theory
• Backward stochastic differential equations with regime-switching and sublinear expectations

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