Let G (B) (x, y) be the Green's function of the unit ball B in and the iterated Green's function. The functionis the expectation of the lifetime of a Brownian motion starting at , killed on exiting B and conditioned to converge to and to be stopped at . The aim of the paper ...
G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Ito's type Shige Peng Full-Text Cite this paper Add to My Lib Abstract: We introduce a notion of nonlinear expectation --G--expectation-- generated by a nonlinear heat equation with infinitesimal generator G. We first discu...
G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Ito's type S G Peng. G-expectation, G-Brownian motion and related stochastic calculus of Itoˆ type. Stochastic Analysis and Applications, 2007, 541-567... S Peng - 《Stochastic Analysis & Applications》 ...
We have also obtained the existence and uniqueness of stochastic differential equations under our G -expectation.Shige PengStochastic Processes and their ApplicationsPeng S., Multi-dimensional G-Brownian motion and related stochastic calculus under G- expectation, Stochastic Process. Appl., 118(12), ...
Hu, S. Peng, Function spaces and capacity related to a sublinear expectation: application to G-Brownian motion paths, February 2008, arXiv:0802.1240. Google Scholar [4] L. Denis, C. Martini A theoretical framework for the pricing of contingent claims in the presence of model uncertainty ...
g-brownian motiong -expectationOur purpose is to investigate properties for processes with stationary and independent increments under G-expectation. As applications, we prove the martingale characterization of G-Brownian motion and present a pathwise decomposition theorem for generalized G-Brownian motion....
Peng S.GG-expectation,GG-Brownian motion and related stochastic calculus of Itô's type. ArXiv:math.PR/0601035v2, 2006. Google Scholarhttps://scholar.google.com/scholar? &q=Peng S.G-expectation,G-Brownian motion and related stochastic calculus of Itô's type. ArXiv:math.PR/0601035v2, ...
By approaching Brownian motion with compound Poisson model,the integro-differential equations are derived for V(x;b) which is the expected present value of all dividends before ruin. 考虑带扩散扰动的复合泊松模型上的按比例分红策略,运用复合泊松过程逼近布朗运动,得到了直至破产前所有分红的期望折现值V(...
Then the theoretical results are applied to impulsive coupled oscillators systems driven by G-Brownian motion, and the corresponding criterion is gained, which is substantiated with a numerical example finally.Taylor And FrancisInternational Journal of Control...
This paper mainly discusses the stochastic cooperative Lotka-Volterra system driven by G-Brownian motion. Under the framework of sub-linear expectations, we prove the existence and uniqueness of the positive solution of the system. In addition, by constructing a suitable Lyapunov function, we obtain...