Related papers: Weak Approximation of G-Expectations

In the framework of sublinear expectation, we have introduced a new type of G-Gaussian random fields, which contain a type of spatial white noise as a special case. Based on this result, we also have introduced a spatial-temporal G-white…

We develop a theory of optimal stopping problems under G-expectation framework. We first define a new kind of random times, called G-stopping times, which is suitable for this problem. For the discrete time case with finite horizon, the…

The G-Brownian-motion-driven stochastic differential equations (G-SDEs) as well as the G-expectation, which were seminally proposed by Peng and his colleagues, have been extensively applied to describing a particular kind of uncertainty…

We describe a new framework of a sublinear expectation space and the related notions and results of distributions, independence. A new notion of G-distributions is introduced which generalizes our G-normal-distribution in the sense that…

In this paper, we extend the G-expectation theory to infinite dimensions. Such notions as a covariation set of G-normal distributed random variables, viscosity solution, a stochastic integral driven by G-Brownian motion are introduced and…

We develop a recursive method for perturbative solutions of the Fokker-Planck equation with nonlinear drift. The series expansion of the time-dependent probability density in terms of powers of the coupling constant is obtained by solving a…

By analogy with the theory of Backward Stochastic Differential Equations, we define Backward Stochastic Difference Equations on spaces related to discrete time, finite state processes. This paper considers these processes as constructions…

We give a very simple and elementary proof of the existence of a weakly compact family of probability measures $\{P_{\theta}:\theta \in \Theta \}$ to represent an important sublinear expectation--G-expectation $\mathbb{E}[\cdot]$. We also…

The time evolution of the two-time conditional probability of the classical stochastic process is described in an analogous form of the quantum mechanical wave equations. By using it, we emulate the same strange behaviors as those of the…

We study the limit behaviour of upper and lower bounds on expected time averages in imprecise Markov chains; a generalised type of Markov chain where the local dynamics, traditionally characterised by transition probabilities, are now…

In this paper, we establish Girsanov's formula for $G$-Brownian motion. Peng (2007, 2008) constructed $G$-Brownian motion on the space of continuous paths under a sublinear expectation called $G$-expectation; as obtained by Denis et al.…

In this book, we introduce a new approach of sublinear expectation to deal with the problem of probability and distribution model uncertainty. We a new type of (robust) normal distributions and the related central limit theorem under…

We introduce a very weak space-time variational formulation for the wave equation, prove its well-posedness (even in the case of minimal regularity) and optimal inf-sup stability. Then, we introduce a tensor product-style space-time…

The uncertainty relation and the probability interpretation of quantum mechanics are intrinsically connected, as is evidenced by the evaluation of standard deviations. It is thus natural to ask if one can associate a very small uncertainty…

We study the time evolution of the reduced Wigner function for a class of quantum Brownian motion models. We derive two generalized uncertainty relations. The first consists of a sharp lower bound on the uncertainty function, $U = (\Delta…

We give a theory of sublinear expectations and martingales in discrete time. Without assuming the existence of a dominating probability measure, we derive the extensions of classical results on uniform integrability, optional stopping of…

The generalized uncertainty connection between the fluctuations of a quantum observable and its temporal derivative is derived in this study, we demonstrate that the product of an observable's uncertainties and its time derivative is…

Assuming that $(X_t)_{t\in\Z}$ is a vector valued time series with a common marginal distribution admitting a density $f$, our aim is to provide a wide range of consistent estimators of $f$. We consider different methods of estimation of…

We estimate the possible variations of the gravitational constant G in the framework of a generalized (Bergmann-Wagoner-Nordtvedt) scalar-tensor theory of gravity on the basis of the field equations, without using their special solutions.…

Weak values are average quantities,therefore investigating their associated variance is crucial in understanding their place in quantum mechanics. We develop the concept of a position-postselected weak variance of momentum as cohesively as…