相关论文: G-Brownian Motion and Dynamic Risk Measure under V…

The Generalized fractional Brownian motion (gfBm) is a stochastic process that acts as a generalization for both fractional, sub-fractional, and standard Brownian motion. Here we study its use as the main driver for price fluctuations,…

Molecular simulations of many particles which move rather according to a brownian than a newtonian type of dynamics, nevertheless, can be performed by means of a "velocity-Verlet-like" algorithm. The derivation of this algorithm requires…

Risk control has become one of the major concern of financial institutions. The need for adequate statistical tools to measure and anticipate the amplitude of the potential moves of financial markets is clearly expressed, in particular for…

In this paper, we obtain the existence and uniqueness theorem for backward stochastic differential equation driven by G-Brownian motion (G-BSDE) under degenerate case. Moreover, we propose a new probabilistic method based on the…

A distributional route to Gaussianity, associated with the concept of Conservative Mixing Transformations in ensembles of random vector-valued variables, is proposed. This route is completely different from the additive mechanism…

Stochastic volatility models describe stock returns $r_t$ as driven by an unobserved process capturing the random dynamics of volatility $v_t$. The present paper quantifies how much information about volatility $v_t$ and future stock…

We introduce the concept of partial law invariance, generalizing the concepts of law invariance and probabilistic sophistication widely used in decision theory, as well as statistical and financial applications. This new concept is…

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.…

It is shown that under a certain condition on a semimartingale and a time-change, any stochastic integral driven by the time-changed semimartingale is a time-changed stochastic integral driven by the original semimartingale. As a direct…

We define a fractional Ito stochastic integral with respect to a randomly scaled fractional Brownian motion via an $S$-transform approach. We investigate the properties of this stochastic integral, prove the Ito formula for functions of…

Generalized variational inference (GVI) provides an optimization-theoretic framework for statistical estimation that encapsulates many traditional estimation procedures. The typical GVI problem is to compute a distribution of parameters…

In this paper, we establish some general forms of the law of the iterated logarithm for independent random variables in a sub-linear expectation space, where the random variables are not necessarily identically distributed. Exponential…

In this note, we study inequality and limit theory under sublinear expectations. We mainly prove Doob's inequality for submartingale and Kolmogrov's inequality. By Kolmogrov's inequality, we obtain a special version of Kolmogrov's law of…

We give an explicit formula for the probability distribution based on a relativistic extension of Brownian motion. The distribution 1) is properly normalized and 2) obeys the tower law (semigroup property), so we can construct martingales…

The statistical mechanical description of two-dimensional inviscid fluid turbulence is reconsidered. Using this description, we make predictions about turbulent flow in a rapidly rotating laboratory annulus. Measurements on the continuously…

In this paper, we study the differentiability of solutions of stochastic differential equations driven by the $G$-Brownian motion with respect to the initial data and the parameter. In addition, the stability of solutions of stochastic…

A mathematical framework for information-theoretic analysis is established, with a new viewpoint of describing transmitted messages and communication channels by the nonlinear expectation theory, beyond the framework of classical…

We study a stochastic recursive optimal control problem in which the cost functional is described by the solution of a backward stochastic differential equation driven by G-Brownian motion. Some of the economic and financial optimization…

Given a universe of discourse X-a domain of possible outcomes-an experiment may consist of selecting one of its elements, subject to the operation of chance, or of observing the elements, subject to imprecision. A priori uncertainty about…

We show that a pathwise stochastic integral with respect to fractional Brownian motion with an adapted integrand $g$ can have any prescribed distribution, moreover, we give both necessary and sufficient conditions when random variables can…