In 2006, Peng introduced a new kind of nonlinear expectation--G-expectation (see Peng, 2006). And he also established a theory of stochastic calculus under the G-expectation (see [4], [5] and [7]). In this paper, we will prove a nonlinear Dynkin's formula when the generator of a G-Itô's diffusion is well defined in the framework of the G-expectation.
Depuis la publication de l'ouvrage de Choquet (1955), la théorie d'espérance non linéaire a attiré a...
A Dynkin game is considered for stochastic differential equations with ran-dom coefficients. We firs...
AbstractWe introduce a notion of volatility uncertainty in discrete time and define the correspondin...
We introduce a notion of nonlinear expectation — G-expectation — generated by a nonlinear heat equat...
We develop a notion of nonlinear expectation-G-expectation-generated by a nonlinear heat equation wi...
AbstractWe develop a notion of nonlinear expectation–G-expectation–generated by a nonlinear heat equ...
In this paper, we define a dynamically consistent conditional G-expectation in space Lp, and give th...
This book is focused on the recent developments on problems of probability model uncertainty by usin...
The notion of g-expectations was first introduced by S.Peng via a class of nonlinear backward stocha...
We consider filtration consistent nonlinear expectations in probability spaces satisfying only the u...
We consider filtration consistent nonlinear expectations in probability spaces satisfying only the u...
AbstractWe consider filtration consistent nonlinear expectations in probability spaces satisfying on...
We consider the stochastic optimal control problems under G-expectation. Based on the theory of back...
We study the theory of stochastic order under the nonlinear expectations framework, including g- and...
Depuis la publication de l'ouvrage de Choquet (1955), la théorie d'espérance non linéaire a attiré a...
Depuis la publication de l'ouvrage de Choquet (1955), la théorie d'espérance non linéaire a attiré a...
A Dynkin game is considered for stochastic differential equations with ran-dom coefficients. We firs...
AbstractWe introduce a notion of volatility uncertainty in discrete time and define the correspondin...
We introduce a notion of nonlinear expectation — G-expectation — generated by a nonlinear heat equat...
We develop a notion of nonlinear expectation-G-expectation-generated by a nonlinear heat equation wi...
AbstractWe develop a notion of nonlinear expectation–G-expectation–generated by a nonlinear heat equ...
In this paper, we define a dynamically consistent conditional G-expectation in space Lp, and give th...
This book is focused on the recent developments on problems of probability model uncertainty by usin...
The notion of g-expectations was first introduced by S.Peng via a class of nonlinear backward stocha...
We consider filtration consistent nonlinear expectations in probability spaces satisfying only the u...
We consider filtration consistent nonlinear expectations in probability spaces satisfying only the u...
AbstractWe consider filtration consistent nonlinear expectations in probability spaces satisfying on...
We consider the stochastic optimal control problems under G-expectation. Based on the theory of back...
We study the theory of stochastic order under the nonlinear expectations framework, including g- and...
Depuis la publication de l'ouvrage de Choquet (1955), la théorie d'espérance non linéaire a attiré a...
Depuis la publication de l'ouvrage de Choquet (1955), la théorie d'espérance non linéaire a attiré a...
A Dynkin game is considered for stochastic differential equations with ran-dom coefficients. We firs...
AbstractWe introduce a notion of volatility uncertainty in discrete time and define the correspondin...