相关论文: Choquet expectations and g-expectations with multi…

We obtain sufficient and necessary conditions for the Choquet-Deny theorem to hold in the class of compactly generated totally disconnected locally compact groups of polynomial growth, and in a larger class of totally disconnected…

We study analytically the order and gap statistics of particles at time $t$ for the one dimensional branching Brownian motion, conditioned to have a fixed number of particles at $t$. The dynamics of the process proceeds in continuous time…

A model of Brownian particles with the ability to take up energy from the environment, to store it in an internal depot, and to convert internal energy into kinetic energy of motion, is discussed. The general dynamics outlined in Sect. 2 is…

Under the continuous assumption on the generator $g$, Briand et al. [Electron. Comm. Probab. 5 (2000) 101--117] showed some connections between $g$ and the conditional $g$-expectation $({\mathcal{E}}_g[\cdot|{\mathcal{F}}_t])_{t\in[0,T]}$…

We study the problem of when a Brownian motion in the unit ball has a positive probability of avoiding a countable collection of spherical obstacles. We give a necessary and sufficient integral condition for such a collection to be…

The usual interpretational rule of quantum mechanics which states that outcomes do not occur when their weights are zero is changed so as to preclude outcomes with weights less than a small but positive value. With this "positive…

We first introduce the calculus of Peng's G-Brownian motion on a sublinear expectation space $(\Omega, {\cal H}, \hat{\mathbb{E}})$. Then we investigate the exponential stability of paths for a class of stochastic differential equations…

We obtain an elementary characterization of expected utility based on a representation of choice in terms of psychological gambles, which requires no assumption other than coherence between ex-ante and ex-post preferences. Weaker version of…

We study the asymptotic dynamics of stochastic Young differential delay equations under the regular assumptions on Lipschitz continuity of the coefficient functions. Our main results show that, if there is a linear part in the drift term…

Consider a smooth one-parameter family t -> f_t of dynamical systems f_t, with |t|<epsilon. Assume that for all t (or for many t close to t=0) the map f_t admits a unique SRB invariant probability measure m_t. We say that linear response}…

In this paper, we consider the stochastic optimal control problems under G-expectation. Based on the theory of backward stochastic differential equations driven by G-Brownian motion, which was introduced in [10.11], we can investigate the…

In this paper, we propose a new generalization of the classical discrete Choquet integral to the multivalued framework in terms of an admissible order that refines the natural partial order on the considered value set. The new Choquet-like…

We consider the Skorokhod problem in a time-varying interval. We prove existence and uniqueness for the solution. We also express the solution in terms of an explicit formula. Moving boundaries may generate singularities when they touch. We…

In this paper, we prove that there exists at least one solution for the reflected forward-backward stochastic differential equation driven by G-Brownian motion satisfying the obstacle constraint with monotone coefficients.

The Quantum Ergodic Conjecture equates the Wigner function for a typical eigenstate of a classically chaotic Hamiltonian with a delta-function on the energy shell. This ensures the evaluation of classical ergodic expectations of simple…

In this paper, we shall study the basic absolute properties of $G$-Brownian motion, i.e., those properties which hold for q.s. $\omega$. These include the characterization of the zero set and the local maxima of the $G$-Brownian motion…

We prove that a cuspidal automorphic representation of GL(3) over any number field is determined by the quadratic twists of its central value. In the case of a non-Gelbart-Jacquet lift, the result is conditional on the analytic behavior of…

A generalized Einstein relation is studied for Brownian motion in a tilted potential. The exact form of the diffusion constant of the Brownian motion is compared with the generalized Einstein relation. The generalized Einstein relation is a…

We prove that a stochastic flow of reflected Brownian motions in a smooth multidimensional domain is differentiable with respect to its initial position. The derivative is a linear map represented by a multiplicative functional for…

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…