Stochastic Motion Under G-Framework: I. Nelson Stochastic Derivatives

DOI10.1080/07362994.2014.964870zbMath1305.60075OpenAlexW2079914378MaRDI QIDQ2937466

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Publication date: 9 January 2015

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362994.2014.964870

zbMATH Keywords

sublinear expectationosmotic velocitycurrent velocitystochastic motionNelson stochastic derivatives\(G\)-diffusion processes

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Other physical applications of random processes (60K40) Diffusion processes (60J60) Kinematics of a particle (70B05)

Cites Work

• Unnamed Item
• Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
• Time reversal of diffusions
• Girsanov's formula for \(G\)-Brownian motion
• Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
• User’s guide to viscosity solutions of second order partial differential equations
• Extension and Application of Itô's Formula UnderG-Framework

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