Numerical simulations for \(G\)-Brownian motion
From MaRDI portal
Publication:335585
DOI10.1007/s11464-016-0504-9zbMath1348.65011OpenAlexW2494258185MaRDI QIDQ335585
Publication date: 2 November 2016
Published in: Frontiers of Mathematics in China (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11464-016-0504-9
\(G\)-Brownian motionnonlinear expectation\(G\)-normal distributionHamilton-Jacobi-Bellman (HJB) equation
Probabilistic models, generic numerical methods in probability and statistics (65C20) Brownian motion (60J65) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)
Related Items (7)
Existence of relaxed optimal control for $G$-neutral stochastic functional differential equations with uncontrolled diffusion ⋮ Robust mean-variance hedging via \(G\)-expectation ⋮ Exponential stability of \(\theta\)-method for stochastic differential equations in the \(G\)-framework ⋮ Convergence and asymptotical stability of numerical solutions for neutral stochastic delay differential equations driven by \(G\)-Brownian motion ⋮ Stability equivalence between the stochastic differential delay equations driven by \(G\)-Brownian motion and the Euler-Maruyama method ⋮ An efficient numerical method for forward-backward stochastic differential equations driven by \(G\)-Brownian motion ⋮ Pathwise convergence under Knightian uncertainty
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Stochastic differential equations driven by \(G\)-Brownian motion with reflecting boundary conditions
- Some properties on \(G\)-evaluation and its applications to \(G\)-martingale decomposition
- Martingale representation theorem for the \(G\)-expectation
- Stopping times and related Itô's calculus with \(G\)-Brownian motion
- Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
- A probabilistic numerical method for fully nonlinear parabolic PDEs
- Exponential stability for stochastic differential equation driven by G-Brownian motion
- Pathwise properties and homeomorphic flows for stochastic differential equations driven by \(G\)-Brownian motion
- Discrete-time probabilistic approximation of path-dependent stochastic control problems
- Martingale characterization of \(G\)-Brownian motion
- On representation theorem of \(G\)-expectations and paths of \(G\)-Brownian motion
- Survey on normal distributions, central limit theorem, Brownian motion and the related stochastic calculus under sublinear expectations
- A monotone scheme for high-dimensional fully nonlinear PDEs
- Backward stochastic differential equations driven by \(G\)-Brownian motion
- Comparison theorem, Feynman-Kac formula and Girsanov transformation for BSDEs driven by \(G\)-Brownian motion
- Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
- An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations
- Coherent Measures of Risk
- Pricing and hedging derivative securities in markets with uncertain volatilities
- Introduction to Numerical Methods in Differential Equations
- Tools for computational finance
This page was built for publication: Numerical simulations for \(G\)-Brownian motion
