The modulus of continuity theorem for G-Brownian motion
From MaRDI portal
Publication:4976236
DOI10.1080/03610926.2015.1066816zbMath1369.60056OpenAlexW2342693620MaRDI QIDQ4976236
Publication date: 27 July 2017
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2015.1066816
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Generalizations of martingales (60G48)
Related Items
\(L^{p}\) solutions of infinite time interval backward doubly stochastic differential equations under monotonicity and general increasing conditions, Disturbance observer based control for dynamically positioned ships with ocean environmental disturbances and actuator saturation, Stability analysis of stochastic pantograph multi-group models with dispersal driven by \(G\)-Brownian motion, Stability of square-mean almost automorphic mild solutions to impulsive stochastic differential equations driven by G-Brownian motion, Sobolev-type stochastic differential equations driven by G-Brownian motion
Cites Work
- Some properties on \(G\)-evaluation and its applications to \(G\)-martingale decomposition
- Martingale representation theorem for the \(G\)-expectation
- Properties of hitting times for \(G\)-martingales and their applications
- Large deviations for stochastic differential equations driven by \(G\)-Brownian motion
- Central limit theorem for capacities
- Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
- A general central limit theorem under sublinear expectations
- Moment bounds for IID sequences under sublinear expectations
- On Cramér's theorem for capacities
- Pathwise properties and homeomorphic flows for stochastic differential equations driven by \(G\)-Brownian motion
- Martingale characterization of \(G\)-Brownian motion
- Survey on normal distributions, central limit theorem, Brownian motion and the related stochastic calculus under sublinear expectations
- Convex measures of risk and trading constraints
- Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
- Theory of capacities
- Coherent Measures of Risk
