In this paper, we are motivated by uncertainty problems in volatility. We prove the equivalent theorem of Wiener chaos with respect to G-Brownian motion in the framework of a sublinear expectation space. Moreover, we establish some relationship between Hermite polynomials and G-stochastic multiple integrals. An equivalent of the orthogonality of Wiener chaos was found
In this work we combine Wiener chaos expansion approach to study the dynamics of a stochastic system...
In this note we review and compare different versions of expansions in discrete Wiener chaos. We rel...
AbstractLet F be a square integrable random variable on the classical Wiener space and let us denote...
In this paper, we are motivated by uncertainty problems in volatility. We prove the equivalent theor...
Abstract. In this paper, we are motivated by uncertainty problems in volatility. We prove the equiva...
Tyt. z nagłówka.Bibliogr. s. 665.In this paper, we are motivated by uncertainty problems in volatili...
Abstract. For Wiener spaces conditional expectations and L2-martingales w.r.t. the natural ¯ltration...
For Wiener spaces conditional expectations and L2-martingales w.r.t. the natural ¯ltration have a na...
We develop a notion of nonlinear expectation-G-expectation-generated by a nonlinear heat equation wi...
This book is focused on the recent developments on problems of probability model uncertainty by usin...
AbstractWe develop a notion of nonlinear expectation–G-expectation–generated by a nonlinear heat equ...
The concept of Wiener chaos generalizes to an infinite-dimensional setting the properties of orthogo...
We introduce a notion of nonlinear expectation — G-expectation — generated by a nonlinear heat equat...
martingale polynomials, chaos representation property. We extend to matrix-valued stochastic process...
Stochastic analysis with respect to fractional Brownian motion. Fractional Brownian motion (fBM for ...
In this work we combine Wiener chaos expansion approach to study the dynamics of a stochastic system...
In this note we review and compare different versions of expansions in discrete Wiener chaos. We rel...
AbstractLet F be a square integrable random variable on the classical Wiener space and let us denote...
In this paper, we are motivated by uncertainty problems in volatility. We prove the equivalent theor...
Abstract. In this paper, we are motivated by uncertainty problems in volatility. We prove the equiva...
Tyt. z nagłówka.Bibliogr. s. 665.In this paper, we are motivated by uncertainty problems in volatili...
Abstract. For Wiener spaces conditional expectations and L2-martingales w.r.t. the natural ¯ltration...
For Wiener spaces conditional expectations and L2-martingales w.r.t. the natural ¯ltration have a na...
We develop a notion of nonlinear expectation-G-expectation-generated by a nonlinear heat equation wi...
This book is focused on the recent developments on problems of probability model uncertainty by usin...
AbstractWe develop a notion of nonlinear expectation–G-expectation–generated by a nonlinear heat equ...
The concept of Wiener chaos generalizes to an infinite-dimensional setting the properties of orthogo...
We introduce a notion of nonlinear expectation — G-expectation — generated by a nonlinear heat equat...
martingale polynomials, chaos representation property. We extend to matrix-valued stochastic process...
Stochastic analysis with respect to fractional Brownian motion. Fractional Brownian motion (fBM for ...
In this work we combine Wiener chaos expansion approach to study the dynamics of a stochastic system...
In this note we review and compare different versions of expansions in discrete Wiener chaos. We rel...
AbstractLet F be a square integrable random variable on the classical Wiener space and let us denote...
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