Related papers: Weak Approximation of G-Expectations

We describe five types of results concerning information and concentration of discrete random variables, and relationships between them, motivated by their counterparts in the continuous case. The results we consider are information…

In this paper we give new deviation inequalities of Bernstein's type for the partial sums of weakly dependent time series. The loss from the independent case is studied carefully. We give non mixing examples such that dynamical systems and…

The aim of this paper is to establish a few uncertainty principles for the Fourier and the short-time Fourier transforms. Also, we discuss an analogue of Donoho--Stark uncertainty principle and provide some estimates for the size of the…

We study the time evolution of a quantum particle in a Gaussian random environment. We show that in the weak coupling limit the Wigner distribution of the wave function converges to a solution of a linear Boltzmann equation globally in…

This paper presents a wp-style calculus for obtaining bounds on the expected run-time of probabilistic programs. Its application includes determining the (possibly infinite) expected termination time of a probabilistic program and proving…

We review recent progress in the study of varying constants and attempts to explain the observed values of the fundamental physical constants. We describe the variation of $G$ in Newtonian and relativistic scalar-tensor gravity theories. We…

We establish the duality-formula for the superreplication price in a setting of volatility uncertainty which includes the example of "random G-expectation." In contrast to previous results, the contingent claim is not assumed to be…

In this paper, we consider the stochastic optimal control problems under G-expectation. Based on the theory of backward stochastic differential equations driven by G-Brownian motion, which was introduced in [10.11], we can investigate the…

We address entropic uncertainty relations between time and energy or, more precisely, between measurements of an observable $G$ and the displacement $r$ of the $G$-generated evolution $e^{-ir G}$. We derive lower bounds on the entropic…

In this paper, we develop the notions of weak/directional monotonicity (developed by Sesma-Sara et al. in terms of the \emph{Kulisch-Miranker order}) and the notion of $ G $-monotonicity (introduced by Santiago et al. for $ [0,\!1]$) for…

This is an expository paper on Lyapunov stability of equilibria of autonomous Hamiltonian systems. Our aim is to clarify the concept of weak instability, namely instability without non-constant motions which have the equilibrium as limit…

We study the dynamic indifference pricing with ambiguity preferences. For this, we introduce the dynamic expected utility with ambiguity via the nonlinear expectation--G-expectation, introduced by Peng (2007). We also study the risk…

A variational representation for functionals of G-Brownian motion is established by a finite-dimensional approximate technique. As an application of the variational representation, we obtain a large deviation principle for stochastic flows…

We give a variational formulation for $-\log\mathbb{E}_\nu\left[e^{-f}|\mathcal{F}_t\right]$ for a large class of measures $\nu$. We give a refined entropic characterization of the invertibility of some perturbations of the identity. We…

We consider a discrete time analog of $G$--expectations and we prove that in the case where the time step goes to 0 the corresponding values converge to the original $G$--expectation. Furthermore we provide error estimates for the…

Local stochastic volatility refers to a popular model class in applied mathematical finance that allows for "calibration-on-the-fly", typically via a particle method, derived from a formal McKean-Vlasov equation. Well-posedness of this…

Entropic uncertainty relations for the position and momentum within the generalized uncertainty principle are examined. Studies of this principle are motivated by the existence of a minimal observable length. Then the position and momentum…

We introduce a new notion of G-expectation-weighted Sobolev spaces, or in short, G-Sobolev spaces, and prove that a backward SDEs driven by G-Brownian motion are in fact path dependent PDEs in the corresponding Sobolev spaces under G-norms.…

In this paper, we study the discrete-time approximation schemes for a class of backward stochastic differential equations driven by $G$-Brownian motion ($G$-BSDEs) which corresponds to the hedging pricing of European contingent claims. By…

We provide a general approach to construct a stochastic process with a given consistent family of finite dimensional distributions under a nonlinear expectation space. We use this approach to construct a generalized Gaussian process under a…