Related papers: Hyperfinite Construction of $G$-expectation
Based on the classical probability, the stability criteria for stochastic differential delay equations (SDDEs) where their coefficients are either linear or nonlinear but bounded by linear functions have been investigated intensively.…
This paper develops a systematic parametric method for analyzing stochastic systems under volatility uncertainty within the $G$-expectation framework. Leveraging the dual representation of the $G$-expectation as a supremum over a family of…
This paper is concerned with the connection between G-Brownian Motion and analytic functions. We introduce the complex version of sublinear expectation, and then do the stochastic analysis in this framework. Furthermore, the conformal…
This article studies the global hypoellipticity of a class of overdetermined systems of pseudo-differential operators defined on the torus. The main goal consists in establishing connections between the global hypoellipticity of the system…
The law of large numbers (LLN) and central limit theorem (CLT) are long and widely been known as two fundamental results in probability theory. Recently problems of model uncertainties in statistics, measures of risk and superhedging in…
We introduce a new notion of conditional nonlinear expectation under probability distortion. Such a distorted nonlinear expectation is not sub-additive in general, so it is beyond the scope of Peng's framework of nonlinear expectations. A…
We study time consistent dynamic pricing mechanisms of European contingent claims under uncertainty by using G framework introduced by Peng ([24]). We consider a financial market consisting of a riskless asset and a risky stock with price…
Based on the Chernoff approximation, we provide a general approximation result for convex monotone semigroups which are continuous w.r.t. the mixed topology on suitable spaces of continuous functions. Starting with a family $(I(t))_{t\geq…
Sublinear expectations for uncertain processes have received a lot of attention recently, particularly methods to extend a downward-continuous sublinear expectation on the bounded finitary functions to one on the non-finitary functions. In…
We provide extension procedures for nonlinear expectations to the space of all bounded measurable functions. We first discuss a maximal extension for convex expectations which have a representation in terms of finitely additive measures.…
We give an introduction to the realisation theory for infinite-dimensional systems. That is, we show that for any function $G$, analytic and bounded in the right half of the complex plane, there exists operators $A,B,C$ such that…
In this paper, we first use PDE techniques and probabilistic methods to identify a kind of quasi-continuous random variables. Then we give a characterization of the $G$-integrable processes and get a kind of quasi-continuous processes by…
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…
Discretization of continuous stochastic processes is needed to numerically simulate them or to infer models from experimental time series. However, depending on the nature of the process, the same discretization scheme, if not accurate…
We show that any connected algebraic group $G$ over a field admits a nilpotent normal subgroup $Z_\infty(G)$ such that the quotient $G/Z_\infty(G)$ has trivial center. We construct $Z_\infty(G)$ as the final term of the transfinitely…
We approximate the solution of the Stokes equations by a new quasi-optimal and pressure robust discontinuous Galerkin discretization of arbitrary order. This means quasi-optimality of the velocity error independent of the pressure.…
Our work is devoted to the study of Pontryagin's stochastic maximum principle for a mean-field optimal control problem under Peng's $G$-expectation. The dynamics of the controlled state process is given by a stochastic differential equation…
In this paper, we consider continuous-time Markov chains with a finite state space under nonlinear expectations. We define so-called Q-operators as an extension of Q-matrices or rate matrices to a nonlinear setup, where the nonlinearity is…
We justify and discuss expressions for joint lower and upper expectations in imprecise probability trees, in terms of the sub- and supermartingales that can be associated with such trees. These imprecise probability trees can be seen as…
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…