Related papers: G-expectations in infinite dimensional spaces and …
In this paper we consider two ways to generalize the mathematical expectation of a random variable, the Choquet expectation and Peng's g-expectation. An open question has been, after making suitable restrictions to the class of random…
The hyperfinite $G$-expectation is a nonstandard discrete analogue of $G$-expectation (in the sense of Robinsonian nonstandard analysis). A lifting of a continuous-time $G$-expectation operator is defined as a hyperfinite $G$-expectation…
Linear filtering problem for infinite-dimensional Gaussian processes is studied, the observation process being finite-dimensional. Integral equations for the filter and for covariance of the error are derived. General results are applied to…
We prove a new uniqueness result for solutions to Fokker-Planck-Kolmogorov (FPK) equations for probability measures on infinite-dimensional spaces. We consider infinite-dimensional drifts that admit certain finite-dimensional…
We prove the existence of a $B$-continuous viscosity solution for a class of infinite dimensional semilinear partial differential equations (PDEs) using probabilistic methods. Our approach also yields a stochastic representation formula for…
We present a new version of the Grobman-Hartman's linearization theorem for random dynamics. Our result holds for infinite dimensional systems whose linear part is not necessarily invertible. In addition, by adding some restrictions on the…
We consider a general class of stochastic optimal control problems, where the state process lives in a real separable Hilbert space and is driven by a cylindrical Brownian motion and a Poisson random measure; no special structure is imposed…
The aim is to prove the well-posedness of infinite horizon backward stochastic differential equations driven by $G$-Brownian motion ($G$-BSDEs) with quadratic generators. To this end, we provide a full construction of explicit solutions to…
In this paper, we give a uniqueness result to a transport equation fulfilled by probability measure on a infinite dimensional Hilbert space. Main arguments are based on projective aspects and a probabilistic representation of the solutions.…
We investigate stochastic processes that generalize geometric Brownian motion, focusing on cases where the standard invariant measure, i.e. the solution of the stationary Fokker-Planck equation does not necessarily exist. We demonstrate…
We introduce a notion of volatility uncertainty in discrete time and define the corresponding analogue of Peng's G-expectation. In the continuous-time limit, the resulting sublinear expectation converges weakly to the G-expectation. This…
Our study is dedicated to the probabilistic representation and numerical approximation of solutions to coupled systems of variational inequalities. The dynamics of each component of the solution is driven by a different linear parabolic…
We consider suitable weak solutions of 2-dimensional Euler equations on bounded domains, and show that the class of completely random measures is infinitesimally invariant for the dynamics. Space regularity of samples of these random fields…
We consider filtration consistent nonlinear expectations in probability spaces satisfying only the usual conditions and separability. Under a domination assumption, we demonstrate that these nonlinear expectations can be expressed as the…
The present paper is devoted to the study of the asymptotic behavior of the value functions of both finite and infinite horizon stochastic control problems and to the investigation of their relation with suitable stochastic ergodic control…
We consider the statistical properties of the gravitational field F in an infinite one-dimensional homogeneous Poisson distribution of particles, using an exponential cut-off of the pair interaction to control and study the divergences…
In this paper, we obtain a comparison theorem and a invariant representation theorem for backward stochastic differential equations (BSDEs) without any assumption on the second variable $z$. Using the two results, we further develop the…
We construct a time-consistent sublinear expectation in the setting of volatility uncertainty. This mapping extends Peng's G-expectation by allowing the range of the volatility uncertainty to be stochastic. Our construction is purely…
We introduce a new definition of viscosity solution to path-dependent partial differential equations, which is a slight modification of the definition introduced in [8]. With the new definition, we prove the two important results till now…
This paper develops a probabilistic approximation scheme for a class of nonstandard, fully nonlinear second-order partial integro-differential equations (PIDEs) associated with nonlinear Levy processes under Peng's G-expectation framework.…