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作品数：64被引量：170H指数：6
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相关领域：理学更多>>
相关作者：安和平冯恩民游兆永刘辉昭蒋达清更多>>
相关机构：东北师范大学大连理工大学云南工业大学西安交通大学更多>>
相关期刊：《四川师范大学学报（自然科学版）》《Journal of Partial Differential Equations》《Applied Mathematics and Mechanics(English Edition)》《Frontiers of Mathematics in China》更多>>
相关基金：国家自然科学基金国家重点基础研究发展计划国家教育部博士点基金中国博士后科学基金更多>>
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A strong law of large numbers under sublinear expectations
《Probability, Uncertainty and Quantitative Risk》2023年第3期333-350,共18页Yongsheng Song 
supported by National Key R&D Program of China(Grant Nos.2020YFA0712700,2018YFA0703901);NSFCs(Grant No.11871458);Key Research Program of Frontier Sciences,CAS(Grant No.QYZDBSSW-SYS017).
We consider a sequence of independent and identically distributed(i.i.d.)random variables{ξ_(k)}under a sublinear expectation E=sup_(P∈Θ).We first give a new proof to the fact that,under each P∈Θ,any cluster poin...
关键词：Law of large numbers Tailσ-algebra Sublinear expectation 
Non-linear affine processes with jumps
《Probability, Uncertainty and Quantitative Risk》2023年第2期235-266,共32页Francesca Biagini Georg Bollweg Katharina Oberpriller 
We present a probabilistic construction of R^(d)-valued non-linear affine processes with jumps.Given a setΘof affine parameters,we define a family of sublinear expectations on the Skorokhod space under which the cano...
关键词：Sublinear expectation Non-linear affine processes Dynamic programming PIDE 
A universal robust limit theorem for nonlinear Lévy processes under sublinear expectation
《Probability, Uncertainty and Quantitative Risk》2023年第1期1-32,共32页Mingshang Hu Lianzi Jiang Gechun Liang Shige Peng 
supported by the National Key R&D Program of China(Grant No.2018YFA0703900);the National Natural Science Foundation of China(Grant No.11671231);the Qilu Young Scholars Program of Shandong University;supported by the Tian Yuan Projection of the National Natural Science Foundation of China(Grant Nos.11526205,11626247);the National Basic Research Program of China(973 Program)(Grant No.2007CB814900(Financial Risk)).
This article establishes a universal robust limit theorem under a sublinear expectation framework.Under moment and consistency conditions,we show that,forα∈(1,2),the i.i.d.sequence{(1/√∑_(i=1)^(n)X_(i),1/n∑_(i=1)...
关键词：Universal robust limit theorem Partial integro-differential equation Nonlinear Lévy process α-stable distribution Sublinear expectation 
On the laws of the iterated logarithm with mean-uncertainty under sublinear expectations被引量：1
《Probability, Uncertainty and Quantitative Risk》2022年第1期1-12,共12页Xiaofan Guo Shan Li Xinpeng Li 
supported by NSF of Shandong Province(Grant No.ZR2021MA018);National Key R&D Program of China(Grant No.2018YFA0703900);NSF of China(Grant No.11601281);the Young Scholars Program of Shandong University.
A new Hartman-Wintner-type law of the iterated logarithm for independent random variables with mean-uncertainty under sublinear expectations is established by the martingale analogue of the Kolmogorov law of the itera...
关键词：Law of the iterated logarithm Mean-uncertainty Upper and lower variances Sublinear expectation 
Reduced-form setting under model uncertainty with non-linear affine intensities
《Probability, Uncertainty and Quantitative Risk》2021年第3期159-188,共30页Francesca Biagini Katharina Oberpriller 
In this paper we extend the reduced-form setting under model uncertainty introduced in[5]to include intensities following an affine process under parameter uncertainty,as defined in[15].This framework allows us to int...
关键词：Sublinear expectation Reduced-form framework Non-linear affine processes Arbitrage-free pricing 
Optimal unbiased estimation for maximal distribution
《Probability, Uncertainty and Quantitative Risk》2021年第3期189-198,共10页Hanqing Jin Shige Peng 
This research is partially supported by Zhongtai Institute of Finance,Shandong University,Tian Yuan Fund of the National Natural Science Foundation of China(Grant Nos.L1624032.and 11526205)and Chinese SAFEA(111 Project)(Grant No.B12023).
Unbiased estimation for parameters of maximal distribution is a fundamental problem in the statistical theory of sublinear expectations.In this paper,we proved that the maximum estimator is the largest unbiased estima...
关键词：Sublinear expectations Maximal distributions Optimal unbiased estimation 
Stein’s method for the law of large numbers under sublinear expectations
《Probability, Uncertainty and Quantitative Risk》2021年第3期199-212,共14页Yongsheng Song 
This research is supported by the National Key R&D Program of China(Grant Nos.2020YFA0712700,2018YFA0703901);National Natural Science Foundation of China(Grant Nos.11871458,11688101);Key Research Program of Frontier Sciences,CAS(Grant No.QYZDB-SSW-SYS017).
Peng,S.[6]proved the law of large numbers under a sublinear expectation.In this paper,we give its error estimates by Stein’s method.
关键词：Stein’s method Rate of convergence Law of large numbers 
Convergence rate of Peng’s law of large numbers under sublinear expectations被引量：2
《Probability, Uncertainty and Quantitative Risk》2021年第3期261-266,共6页Mingshang Hu Xiaojuan Li Xinpeng Li 
This project is supported by National Key R&D Program of China(Grant No.2018YFA0703900);National Natural Science Foundation of China(Grant Nos.11601281,11671231).
This short note provides a new and simple proof of the convergence rate for the Peng’s law of large numbers under sublinear expectations,which improves the results presented by Song[15]and Fang et al.[3].
关键词：Law of large numbers Rate of convergence Sublinear expectation 
G-Lévy processes under sublinear expectations被引量：3
《Probability, Uncertainty and Quantitative Risk》2021年第1期1-22,共22页Mingshang Hu Shige Peng 
This work was supported by National Key R&D Program of China(Grant No.2018YFA0703900);National Natural Science Foundation of China(Grant No.11671231);Tian Yuan Fund of the National Natural Science Foundation of China(Grant Nos.11526205 and 11626247);National Basic Research Program of China(973 Program)(Grant No.2007CB814900).
We introduce G-Lévy processes which develop the theory of processes with independent and stationary increments under the framework of sublinear expectations.We then obtain the Lévy-Khintchine formula and the existen...
关键词：Sublinear expectation G-normal distribution G-Brownian motion G-EXPECTATION Lévy process G-Lévy process G-Poisson process Lévy-Khintchine formula Lévy-Itôdecomposition 
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