Related papers: A Complex Version of G-Expectation and its Applica…
The paper gives a new representation for the fractional Brownian motion that can be applied to simulate this self-similar random process in continuous time. Such a representation is based on the spectral form of mathematical description and…
In this paper, we introduce a new method to study the doubly reflected backward stochastic differential equation driven by G-Brownian motion (G-BSDE). Our approach involves approximating the solution through a family of penalized reflected…
Starting with conformally covariant correlation functions, a sequence of functional representations of the conformal algebra is constructed. A key step is the introduction of representations which involve an auxiliary functional. It is…
In this paper, we show an approximation in law of the complex Brownian motion by processes constructed from a stochastic process with independent increments. We give sufficient conditions for the characteristic function of the process with…
We show that if a random variable is the final value of an adapted log-H\"{o}lder continuous process, then it can be represented as a stochastic integral with respect to a fractional Brownian motion with adapted integrand. In order to…
We review some recent results on connections between Brownian motion, Whittaker functions, random matrices and representation theory.
By using the Picard iteration scheme, this article establishes the existence and uniqueness theory for solutions to stochastic functional differential equations driven by G-Browniain motion. Assuming the monotonicity conditions, the…
Sufficient and necessary conditions are presented for the comparison theorem of path dependent $G$-SDEs. Different from the corresponding study in path independent $G$-SDEs, a probability method is applied to prove these results. Moreover,…
We consider a modification of the covariance function in Gaussian processes to correctly account for known linear constraints. By modelling the target function as a transformation of an underlying function, the constraints are explicitly…
We study integral representations of random variables with respect to general H\"older continuous processes and with respect to two particular cases; fractional Brownian motion and mixed fractional Brownian motion. We prove that arbitrary…
We establish Harnack inequality and shift Harnack inequality for stochastic differential equation driven by $G$-Brownian motion. As applications, the uniqueness of invariant linear expectations and estimates on the $\sup$-kernel are…
We derive sufficient conditions for the convex and monotonic g-stochastic ordering of diffusion processes under nonlinear g-expectations and g-evaluations. Our approach relies on comparison results for forward-backward stochastic…
This paper presents a new approach to the analysis of mixed processes \[X_t=B_t+G_t,\qquad t\in[0,T],\] where $B_t$ is a Brownian motion and $G_t$ is an independent centered Gaussian process. We obtain a new canonical innovation…
We represent fractional conditional expectations of a functional of fractional Brownian motion as a convergent series in L^2 space. When the target random variable is some function of a discrete trajectory of fractional Brownian motion, we…
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…
Majorana's arbitrary spin theory is considered in a hyperbolic complex representation. The underlying differential equation is embedded into the gauge field theories of Sachs and Carmeli. In particular, the approach of Sachs can serve as a…
The objective of this paper is to establish the decomposition theorem for supermartingales under the $G$-framework. We first introduce a $g$-nonlinear expectation via a kind of $G$-BSDE and the associated supermartingales. We have shown…
This paper reviews and extends some recent results on the multivariate fractional Brownian motion (mfBm) and its increment process. A characterization of the mfBm through its covariance function is obtained. Similarly, the correlation and…
In this paper, we study the reflected backward stochastic differential equation driven by G-Brownian motion (reflected G-BSDE for short) with an upper obstacle. The existence is proved by approximation via penalization. By using a variant…
This paper develops a new technique for the path approximation of one-dimensional stochastic processes, more precisely the Brownian motion and families of stochastic differential equations sharply linked to the Brownian motion (usually…