相关论文: Choquet expectations and g-expectations with multi…
The noncommutative Choquet boundary and the C*-envelope of operator systems of the form Span{1,T,T*}, where T is a Hilbert space operator with normal-like features, are studied. Such operators include normal operators, k-normal operators,…
Distribution of a Brownian motion conditioned to start from the boundary of an open set $G$ and to stay in $G$ for a finite period of time is studied. Characterizations of such distributions in terms of certain singular stochastic…
In this paper, we study a collection of mean-reflected backward stochastic differential equations driven by $G$-Brownian motions ($G$-BSDEs), where $G$-expectations are constrained in some time-dependent intervals. To establish…
Regular $g$-measures are discrete-time processes determined by conditional expectations with respect to the past. One-dimensional Gibbs measures, on the other hand, are fields determined by simultaneous conditioning on past and future. For…
In this article, a sublinear expectation induced by $G$-expectation is introduced, which is called $G$-evaluation for convenience. As an application, we prove that any $\xi\in L^\beta_G(\Omega_T)$ with some $\beta>1$ the decomposition…
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.…
We describe a probabilistic model involving iterated Brownian motion for constructing a random chainable continuum. We show that this random continuum is indecomposable.
The muscle contraction, operation of ATP synthase, maintaining the shape of a cell are believed to be secured by motor proteins, which can be modelled using the Brownian ratchet mechanism. We consider the randomly flashing ratchet model of…
In this article, we show that the standard vector-valued generalization of a generalized grey Brownian motion (ggBm) has independent components if and only if it is a fractional Brownian motion. In order to extend ggBm with independent…
In this paper, we define a dynamically consistent conditional G-expectation in space $\mathbb{L}^{p}$, and give the related stochastic calculus of It\^o's type, especially get It\^o's formula for a general $C^{1,2}$-function.
The classical Floquet theory allows to map a time-periodic system of linear differential equations into an autonomous one. By looking at it in a geometrical way, we extend the theory to a class of non-autonomous non-periodic equations. This…
We evaluate the joint distributions of electron waiting times in coherent conductors described by scattering theory. Successive electron waiting times in a single-channel conductor are found to be correlated due to the fermionic statistics…
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…
In this paper, we study the well-posedness of multi-dimensional backward stochastic differential equations driven by $G$-Brownian motion ($G$-BSDEs) with diagonal generators, the $z$ parts of whose $l$-th components only depend on the…
The generalized grey Brownian motion is a time continuous self-similar with stationary increments stochastic process whose one dimensional distributions are the fundamental solutions of a stretched time fractional differential equation.…
We ask if it is possible to find some particular continuous paths of unit length in linear Brownian motion. Beginning with a discrete version of the problem, we derive the asymptotics of the expected waiting time for several interesting…
A connection-independent formulation of general relativity is presented, in which the dynamics does not depend on the choice of connection. The gravity action in this formulation includes one additional scalar term in addition to the…
In this paper, we study the backward stochastic differential equations driven by G-Brownian motion under the condition that the generator is time-varying Lipschitz continuous with respect to y and time-varying uniformly continuous with…
This paper develops a generalization of Brownian motion with stationary, autocorrelated increments as a tractable model for problems in business and finance. We show that any real continuous Gaussian Markov process with stationary…
We develop a new method for proving algebraic independence of $G$-functions. Our approach rests on the following observation: $G$-functions do not always come with a single linear differential equation, but also sometimes with an infinite…