Nonlinear continuous semimartingales
DOI10.1214/23-ejp1037arXiv2204.07823MaRDI QIDQ6136833
Publication date: 17 January 2024
Published in: Electronic Journal of Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2204.07823
viscosity solutionKnightian uncertaintynonlinear expectationsublinear expectationsemimartingale characteristicsnonlinear martingale problempath-dependent partial differential equationnonlinear semimartingales
Optimal stochastic control (93E20) Martingales with continuous parameter (60G44) General theory of stochastic processes (60G07) Viscosity solutions to PDEs (35D40) Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Path-dependent optimal stochastic control and viscosity solution of associated Bellman equations
- Random \(G\)-expectations
- Measurability of semimartingale characteristics with respect to the probability law
- Calcul stochastique et problèmes de martingales
- The theory of stochastic processes. III.
- On controlled linear diffusions with delay in a model of optimal advertising under uncertainty with memory effects
- Martingale problem under nonlinear expectations
- Smooth generators of integral stochastic orders.
- Crandall-Lions viscosity solutions for path-dependent PDEs: the case of heat equation
- On infinitesimal generators of sublinear Markov semigroups
- A semigroup approach to nonlinear Lévy processes
- Constructing sublinear expectations on path space
- Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
- Multidimensional diffusion processes.
- Nonlinear Lévy processes and their characteristics
- Weak and strong solutions of stochastic differential equations
- Stochastic Orders Generated by Integrals: a Unified Study
- Compactification methods in the control of degenerate diffusions: existence of an optimal control
- Compactness criterion for semimartingale laws and semimartingale optimal transport
- Viscosity solutions to Hamilton-Jacobi-Bellman equations associated with sublinear L\'evy(-type) processes
- Probability theory. A comprehensive course
- Probability Theory
- Convergence of stochastic processes
This page was built for publication: Nonlinear continuous semimartingales
