SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Quasi-continuous random variables and processes under the G -expectation framework
16 references·1 citing·24 second hop
Quasi-continuous random variables and processes under the G -expectation framework (2016)Quasi-continuous random variables and pro…Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)Nonlinear Expectations and St…Comparison theorem, Feynman–Kac formula and Girsanov transformation for BSDEs driven by G -Brownian motion (2013)Comparison theorem, Feynman–K…Backward stochastic differential equations driven by G -Brownian motion (2013)Backward stochastic different…Stopping times and related Itô’s calculus with G -Brownian motion (2011)Stopping times and related It…Some properties on G-evaluation and its applications to G-martingale decomposition (2011)Some properties on G-evaluati…Backward Stochastic Differential Equation, Nonlinear Expectation and Their Applications (2011)Backward Stochastic Different…Function Spaces and Capacity Related to a Sublinear Expectation: Application to G-Brownian Motion Paths (2010)Function Spaces and Capacity …Pathwise properties and homeomorphic flows for stochastic differential equations driven by G -Brownian motion (2009)Pathwise properties and homeo…On representation theorem of G-expectations and paths of G-Brownian motion (2009)On representation theorem of …Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectation (2008)Multi-dimensional G-Brownian …Stochastic Analysis and Applications (2007)Stochastic Analysis and Appli…G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type (2007)G-Expectation, G-Brownian Mot…NONLINEAR EXPECTATIONS AND NONLINEAR MARKOV CHAINS (2005)NONLINEAR EXPECTATIONS AND NO…Filtration Consistent Nonlinear Expectations and Evaluations of Contingent Claims (2004)Filtration Consistent Nonline…Controlled Diffusion Processes (1980)Controlled Diffusion ProcessesControlled Diffusion Processes (1980)Controlled Diffusion ProcessesQuadratic backward stochastic differential equations driven by G -Brownian motion: Discrete solutions and approximation (2018)Quadratic backward stochastic…Pricing and hedging derivative securities in markets with uncertain volatilities (1995)Ambiguity, Risk, and Asset Returns in Continuous Time (2002)Ambiguous volatility, possibility and utility in continuous time (2013)Backward Stochastic Differential Equations in Finance (1997)Coherent Measures of Risk (1999)Convex measures of risk and trading constraints (2002)Wellposedness of second order backward SDEs (2011)Ambiguous Volatility and Asset Pricing in Continuous Time (2013)Stochastic Differential Equations and Diffusion Processes (1983)Continuous Martingales and Brownian Motion (1999)Lyapunov-type conditions and stochastic differential equations driven by G-Brownian motion (2016)Brownian Motion and Stochastic Calculus (2007)Survey on normal distributions, central limit theorem, Brownian motion and the related stochastic calculus under sublinear expectations (2009)Coherent Risk Measures on General Probability Spaces (2002)Stochastic Differential Equations (2003)Controlled Markov Processes and Viscosity Solutions (2005)Stochastic Differential Utility (1992)Martingale Methods in Financial Modelling (1997)Arbitrage Theory in Continuous Time (1998)Arbitrage and duality in nondominated discrete-time models (2015)Machine Learning Approximation Algorithms for High-Dimensional Fully Nonlinear Partial Differential Equations and Second-order Backward Stochastic Differential Equations (2019)A simplified treatment of the theory of optimal regulation of Brownian motion (1991)On solutions of backward stochastic differential equations with jumps and applications (1997)Investment, consumption, and hedging under incomplete markets (2007)
this work references cited by second hop

References

  • 1980Controlled Diffusion Processes1,311 cited
  • 2007G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type621 cited
  • 2019Nonlinear Expectations and Stochastic Calculus under Uncertainty594 cited
  • 2010Function Spaces and Capacity Related to a Sublinear Expectation: Application to G-Brownian Motion Paths570 cited
  • 2008Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectation556 cited
  • 1980Controlled Diffusion Processes258 cited
  • 2009Pathwise properties and homeomorphic flows for stochastic differential equations driven by G -Brownian motion206 cited
  • 2009On representation theorem of G-expectations and paths of G-Brownian motion179 cited
  • 2011Stopping times and related Itô’s calculus with G -Brownian motion176 cited
  • 2011Some properties on G-evaluation and its applications to G-martingale decomposition163 cited
  • 2005NONLINEAR EXPECTATIONS AND NONLINEAR MARKOV CHAINS159 cited
  • 2013Comparison theorem, Feynman–Kac formula and Girsanov transformation for BSDEs driven by G -Brownian motion152 cited
  • 2013Backward stochastic differential equations driven by G -Brownian motion148 cited
  • 2004Filtration Consistent Nonlinear Expectations and Evaluations of Contingent Claims133 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2011Backward Stochastic Differential Equation, Nonlinear Expectation and Their Applications121 cited
  • 2007Stochastic Analysis and Applications91 cited
  • Cited by

    • 2018Quadratic backward stochastic differential equations driven by G -Brownian motion: Discrete solutions and approximation26 cited