SUBLINEAR

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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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 
Spatial and temporal white noises under sublinear G-expectation
《Science China Mathematics》2020年第1期61-82,共22页Xiaojun Ji Shige Peng 
supported by National Natural Science Foundation of China (Grant No. L1624032)
Under the framework of sublinear expectation,we introduce a new type of G-Gaussian random fields,which contains a type of spatial white noise as a special case.Based on this result,we also introduce a spatial-temporal...
关键词：sublinear expectation G-Brownian motion G-Gaussian random field G-white noise spatial and temporal white noise 
Multiple G-Ito integral in G-expectation space被引量：3
《Frontiers of Mathematics in China》2013年第2期465-476,共12页Panyu WU 
In 2007, Peng introduced Ito integral with respect to G-Brownian motion and the related Ito＇s formula in G-expectation space. Motivated by the properties of multiple Wiener integral obtained by Ito in 1951, we introd...
关键词：Sublinear expectation G-Brownian motion Ito integral Hermite polynomial 
Large deviation principle for diffusion processes under a sublinear expectation被引量：2
《Science China Mathematics》2012年第11期2205-2216,共12页CHEN ZengJing 1,2 & XIONG Jie 3,4,1 School of Mathematics,Shandong University,Jinan 250100,China 2 Department of Financial Engineering,Ajou University,Suwon 443749,Korea 3 Department of Mathematics,University of Macao,PO Box 3001,Macao,China 4 Department of Mathematics,University of Tennessee,Knoxville,TN 37996-1300,USA 
supported by National Natural Science Foundation of China (Grant No.10921101);WCU program of the Korea Science and Engineering Foundation (Grant No. R31-20007);National Science Foundation of US (Grant No. DMS-0906907)
We represent the exponential moment of the Brownian functionals under a nonlinear expectation according to the solution to a backward stochastic differential equation.As an application,we establish a large deviation p...
关键词：large deviation principle backward stochastic differential equation G-EXPECTATION AMBIGUITY 
The minimal sublinear expectations and their related properties被引量：5
《Science China Mathematics》2009年第4期785-793,共9页JIA GuangYan School of Mathematics, Shandong University, Jinan 250100, China 
supported by National Basic Research Program of China (973 Program) (Grant No.2007CB814901) (Financial Risk);National Natural Science Foundation of China (Grant No. 10671111)
In this paper, we prove that for a sublinear expectation ?[·] defined on L 2(Ω, $ \mathcal{F} $ ), the following statements are equivalent: ? is a minimal member of the set of all sublinear expectations defined on L...
关键词：G-EXPECTATION Jensen’s inequality linear expectation subadditive expectation sublinear expectation 60H10 
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