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How big are the increments of G-Brownian motion? · Study

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ArticleHow big are the increments of G-Brownian motion?

Feng Hu2014

Article2014

How big are the increments of G-Brownian motion?

Feng Hu · ZengJing Chen · Defei Zhang

39 citations·0/0 files stored·Science China Mathematics

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Stochastic processes and financial applications Probability and Statistical Research Fuzzy Systems and Optimization

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References

1999Coherent Measures of Risk 2002Convex measures of risk and trading constraints 2002Coherent Risk Measures on General Probability Spaces 2002Putting order in risk measures 2010Function Spaces and Capacity Related to a Sublinear Expectation: Application to G-Brownian Motion Paths 2008Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectation 2009Survey on normal distributions, central limit theorem, Brownian motion and the related stochastic calculus under sublinear expectations 2009Pathwise properties and homeomorphic flows for stochastic differential equations driven by G -Brownian motion

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2017Theory, methods and meaning of nonlinear expectation theoryarticle · 11 shared references 2011Backward Stochastic Differential Equation, Nonlinear Expectation and Their Applicationsother · 8 shared references 2010A general central limit theorem under sublinear expectationsarticle · 8 shared references 2016Numerical simulations for G-Brownian motionarticle · 8 shared references 2012Independence Under the $$G$$ -Expectation Frameworkarticle · 8 shared references 2013Backward stochastic differential equations driven by G -Brownian motionarticle · 6 shared references

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Year2014

Typearticle

Published2014-05-08

VenueScience China Mathematics

ISSN-L1869-1862

Languageen

Citations39

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s11425-014-4816-0

openalex_workW2018860013

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