Related papers: Weak Approximation of G-Expectations

This paper addresses the question of how Brownian-like motion can arise from the solution of a deterministic differential delay equation. To study this we analytically study the bifurcation properties of an apparently simple differential…

Entropy weak solutions with bounded periodic initial data are considered for the system of weakly nonlinear gas dynamics. Through a modified Glimm scheme, an approximate solution sequence is constructed, and then a priori estimates are…

We consider a dynamical elasto-plasticity system with Kelvin--Voigt viscosity and linear kinematic hardening of Melan--Prager type. The model is formulated in a variational framework in which a constraint set for the stress evolves in time…

Donsker's invariance principle is shown to hold for random walks in rough path topology. As application, we obtain Donsker-type weak limit theorems for stochastic integrals and differential equations.

In this paper, we establish a universal variational characterization of the non-martingale components associated with weakly differentiable Wiener functionals in the sense of Le\~ao, Ohashi and Simas. It is shown that any Dirichlet process…

We study time consistent dynamic pricing mechanisms of European contingent claims under uncertainty by using G framework introduced by Peng ([24]). We consider a financial market consisting of a riskless asset and a risky stock with price…

In the present paper we consider the semiclassical magnetic Schr\"odinger equation, which describes the dynamics of particles under the influence of a magnetic field. The solution of the time-dependent Schr\"odinger equation is approximated…

In this paper we study approximations for boundary crossing probabilities for the moving sums of i.i.d. normal random variables. We propose approximating a discrete time problem with a continuous time problem allowing us to apply developed…

In this paper, we consider a fully-discrete approximation of an abstract evolution equation deploying a non-conforming spatial approximation and finite differences in time (Rothe-Galerkin method). The main result is the convergence of the…

We show that the distribution of the time delay for one-dimensional random potentials is universal in the high energy or weak disorder limit. Our analytical results are in excellent agreement with extensive numerical simulations carried out…

We show that the usual Born-Oppenheimer type of approximation used in quantum gravity, in which a semiclassical time parameter emerges from a weak-coupling expansion of the Wheeler-DeWitt constraint, leads to a unitary theory at least up to…

We consider a time-fractional parabolic equation of doubly nonlinear type, featuring nonlinear terms both inside and outside the differential operator in time. The main nonlinearities are maximal monotone graphs, without restrictions on the…

We study the weak values of a quantum observable from the point of view of the Wigner formalism. The main actor is here the cross-Wigner transform of two functions, which is in disguise the cross-ambiguity function familiar from radar…

We analyze the weak-field limit of General Relativity with matter and its possible quantisations. This analysis aims towards a predictive quantum theory to provide a first-principles description of gravitational effects in macroscopic…

We consider dynamic sublinear expectations (i.e., time-consistent coherent risk measures) whose scenario sets consist of singular measures corresponding to a general form of volatility uncertainty. We derive a c\`adl\`ag nonlinear…

We present a space-time ultra-weak discontinuous Galerkin discretization of the linear Schr\"odinger equation with variable potential. The proposed method is well-posed and quasi-optimal in mesh-dependent norms for very general discrete…

We consider the weak convergence of numerical methods for stochastic differential equations (SDEs). Weak convergence is usually expressed in terms of the convergence of expected values of test functions of the trajectories. Here we present…

We study an approximation method for the one-dimensional nonlinear filtering problem, with discrete time and continuous time observation. We first present the method applied to the Fokker-Planck equation. The convergence of the…

The convergence of stochastic integrals driven by a sequence of Wiener processes $W_n\to W$ (with convergence in $C_t$) is crucial in the analysis of stochastic partial differential equations (SPDEs). The convergence we focus on in this…

In stochastic decision problems, one often wants to estimate the underlying probability measure statistically, and then to use this estimate as a basis for decisions. We shall consider how the uncertainty in this estimation can be…