Pathwise convergence under Knightian uncertainty
From MaRDI portal
Publication:2084885
DOI10.1016/j.jmaa.2022.126683OpenAlexW4295681456MaRDI QIDQ2084885
Publication date: 13 October 2022
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmaa.2022.126683
Stochastic analysis (60Hxx) Stochastic processes (60Gxx) Probabilistic methods, stochastic differential equations (65Cxx)
Cites Work
- On the pathwise approximation of stochastic differential equations
- Numerical simulations for \(G\)-Brownian motion
- Numerical schemes for \(G\)-expectations
- Pathwise convergence rates for numerical solutions of Markovian switching stochastic differential equations
- Quasi-sure stochastic analysis through aggregation
- An Euler scheme for stochastic delay differential equations on unbounded domains: pathwise convergence
- Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
- Pathwise properties and homeomorphic flows for stochastic differential equations driven by \(G\)-Brownian motion
- A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
- The split-step backward Euler method for linear stochastic delay differential equations
- Convergence and asymptotical stability of numerical solutions for neutral stochastic delay differential equations driven by \(G\)-Brownian motion
- An efficient numerical method for forward-backward stochastic differential equations driven by \(G\)-Brownian motion
- Exit times for semimartingales under nonlinear expectation
- Affine processes under parameter uncertainty
- Backward stochastic differential equations driven by \(G\)-Brownian motion
- Constructing sublinear expectations on path space
- Higher Order Pathwise Numerical Approximations of SPDEs with Additive Noise
- The Pathwise Convergence of Approximation Schemes for Stochastic Differential Equations
- Superhedging and Dynamic Risk Measures under Volatility Uncertainty
- Pricing and hedging derivative securities in markets with uncertain volatilities
- Nonlinear Expectations and Stochastic Calculus under Uncertainty
- ROBUST FUNDAMENTAL THEOREM FOR CONTINUOUS PROCESSES
- MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
This page was built for publication: Pathwise convergence under Knightian uncertainty
