Related papers: Sublinear Expectations and Martingales in discrete…
In the context of Risk Neutral Pricing theory, we consider the classic problem of calibrating a martingale over $\mathbb{R}^n$ to a finite number of marginals thereof, or more practically, to prices of an arbitrary finite set of (joint)…
Discontinuities and delayed terms are encountered in the governing equations of a large class of problems ranging from physics and engineering to medicine and economics. These systems cannot be properly modelled and simulated with standard…
We focus on a class of BSDEs driven by a cadlag martingale and corresponding Markov type BSDE which arise when the randomness of the driver appears through a Markov process. To those BSDEs we associate a deterministic problem which, when…
For $\alpha\in (1,2)$, we present a generalized central limit theorem for $\alpha$-stable random variables under sublinear expectation. The foundation of our proof is an interior regularity estimate for partial integro-differential…
In this paper we are concerned with one-dimensional backward stochastic differential equations (BSDE in short) of the following type: \[Y_t=\xi -\int_{t\wedge \tau}^{\tau}Y_r|Y_r|^q dr-\int_{t\wedge \tau}^{\tau}Z_r dB_r,\qquad t\geq 0,\]…
In this paper, we prove the equivalent conditions of complete moment convergence of the maximum for partial weighted sums of independent, identically distributed random variables under sublinear expectations space. As applications, the…
Given a random sample from a random variable $T$ which is bounded from above, $T\le\tau$ a.s., we define processes that are positive supermartingales if $E(T)\ge\mu$. Such processes are called test martingales. Tests of the supermartingale…
This paper proposes an unconditionally stable numerical method for solving a nonlinear Sobolev model with distributed delay. The proposed computational approach approximates the time derivative by interpolation technique whereas the spatial…
We prove a general existence result in stochastic optimal control in discrete time where controls take values in conditional metric spaces, and depend on the current state and the information of past decisions through the evolution of a…
We solve the Skorokhod embedding problem (SEP) for a general time-homogeneous diffusion $X$: given a distribution $\rho$, we construct a stopping time $\tau$ such that the stopped process $X_{\tau}$ has the distribution $\rho$. Our solution…
This work is concerned with stochastic consensus conditions of multi-agent systems with both time-delays and measurement noises. For the case of additive noises, we develop some necessary conditions and sufficient conditions for stochastic…
In this paper, we consider partial sums of triangular martingale differences weighted by random variables drawn uniformly on the sphere, and globally independent of the martingale differences. Starting from the so-called principle of…
We study the stability of general $n$-dimensional nonautonomous linear differential equations with infinite delays. Delay independent criteria, as well as criteria depending on the size of some finite delays are established. In the first…
For one-dimensional diffusions on the half-line, we study a specific type of conditioning to avoid zero. We introduce supermartingales defined via concave functions with respect to the scale function. A conditioning is formulated through…
The canonical theory of sublinear expectations, a foundation of stochastic calculus under ambiguity, is insensitive to the non-convex geometry of primitive uncertainty models. This paper develops a new stochastic calculus for a structured…
In this paper we discuss new types of differential equations which we call anticipated backward stochastic differential equations (anticipated BSDEs). In these equations the generator includes not only the values of solutions of the present…
The definition of probabilities in eternally inflating universes requires a measure to regulate the infinite spacetime volume, and much of the current literature uses a global time cutoff for this purpose. Such measures have been found to…
We discuss a concept of path-dependent SDE with distributional drift with possible jumps. We interpret it via a suitable martingale problem, for which we provide existence and uniqueness. The corresponding solutions are expected to be…
This paper is devoted to constructing and studying exactly solvable dynamical systems in discrete time obtained from some algebraic operations on matrices, to reductions of such systems leading to classical field theory models in…
Let $X$ be a progressively measurable, almost surely right-continuous stochastic process such that $X_\tau \in L^1$ and $E[X_\tau] = E[X_0]$ for each finite stopping time $\tau$. In 2006, Cherny showed that $X$ is then a uniformly…