Dynkin's formula under the \(G\)-expectation

DOI10.1016/J.SPL.2009.12.005zbMath1214.60023OpenAlexW2011223860MaRDI QIDQ2267636

Xiao-yan Chen

Publication date: 1 March 2010

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2009.12.005

zbMATH Keywords

\(G\)-Brownian motion\(G\)-expectationnonlinear expectationDynkin operator

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (1)

Existence of solutions for G-SFDEs with Cauchy-Maruyama approximation scheme

Cites Work

• Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
• Convex measures of risk and trading constraints
• Risk measures via \(g\)-expectations
• Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
• Coherent Measures of Risk

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