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SUBLINEAR: 作品数：67被引量：171H指数：6; 导出分析报告; 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：《Acta Mathematicae Applicatae Sinica》《Acta Mathematica Scientia》《Probability, Uncertainty and Quantitative Risk》《Chinese Annals of Mathematics,Series B》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>>

Law of large numbers for m-dependent random vectors under sublinear expectations: 《Probability, Uncertainty and Quantitative Risk》2025年第1期1-12,共12页Mingcong Wu Guanghui Cheng; funded by the National Nature Science Foundation of China(Grant No.12001128);the GuangDong Basic and Applied Basic Research Foundation(Grant No.2022A1515011899).; Sublinear expectation relaxes the linear property of classical expectation to subadditivity and positive homogeneity,which can be expressed as E(·)=sup_(θ∈θ) E_(θ)(·)for a certain set of linear expectations{E_(...; 关键词：Law of large numbers m-dependence Sublinear expectations Rate of convergence Random vectors

An algorithm for the calculation of upper variance under multiple probabilities and its application to quadratic programming: 《Probability, Uncertainty and Quantitative Risk》2025年第1期59-66,共8页Xinpeng Li Miao Yu Shiyi Zheng; The concept of upper variance under multiple probabilities is defined through a corresponding minimax optimization problem.This study proposes a simple algorithm to solve this optimization problem exactly.Additionally...; 关键词：Multiple probabilities Quadratic programming Sublinear expectation Upper variance

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

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