Rough path analysis for local time of G-Brownian motion

DOI10.1080/00036811.2018.1514112zbMath1444.60089OpenAlexW2888884344MaRDI QIDQ5106742

Litan Yan, Yumiao Li, Kun He

Publication date: 22 April 2020

Published in: Applicable Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00036811.2018.1514112

zbMATH Keywords

local timeItô's formula\(G\)-Brownian motionrough path

Mathematics Subject Classification ID

Brownian motion (60J65) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic integrals (60H05) Rough paths (60L20) Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65)

Related Items

Existence and exponential stability of almost pseudo automorphic solution for neutral stochastic evolution equations driven by G-Brownian motion, Mean-field backward stochastic differential equations driven by G-Brownian motion with uniformly continuous coefficients

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Lyapunov-type conditions and stochastic differential equations driven by \(G\)-Brownian motion
• Quasi-continuous random variables and processes under the \(G\)-expectation framework
• Integration with respect to the \(G\)-Brownian local time
• 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
• Local time rough path for Lévy processes
• Local time and Tanaka formula for the \(G\)-Brownian motion
• \(G\)-expectation weighted Sobolev spaces, backward SDE and path dependent PDE
• On representation theorem of \(G\)-expectations and paths of \(G\)-Brownian motion
• Stability of delayed Hopfield neural networks under a sublinear expectation framework
• Generalized Wasserstein distance and weak convergence of sublinear expectations
• Stochastic calculus with respect to \(G\)-Brownian motion viewed through rough paths
• Two-parameter \(p,q\)-variation paths and integrations of local times
• Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
• Stochastic Maximum Principle for Stochastic Recursive Optimal Control Problem Under Volatility Ambiguity
• Hilbert transform of G-Brownian local time
• G-Brownian Motion as Rough Paths and Differential Equations Driven by G-Brownian Motion
• System Control and Rough Paths