云南高校图书馆联盟文献共享服务平台- G-EXPECTATION

G-EXPECTATION: 作品数：46被引量：118H指数：6; 导出分析报告; 相关领域：理学更多>>; 相关期刊：《Acta Mathematicae Applicatae Sinica》《Probability, Uncertainty and Quantitative Risk》《Acta Mathematica Scientia》《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北京市自然科学基金高等学校学科创新引智计划更多>>

G-stochastic maximum principle for risk-sensitive control problem and its applications: 《Probability, Uncertainty and Quantitative Risk》2023年第4期463-484,共22页Meriyam Dassa Adel Chala; supported by PRFU project N(Grant No.C00L03UN070120220004).; This study advances the G-stochastic maximum principle(G-SMP)from a risk-neutral framework to a risk-sensitive one.A salient feature of this advancement is its applicability to systems governed by stochastic different...; 关键词：Stochastic optimal control G-EXPECTATION G-Brownian motion G-Stochastic differential equation G-stochastic maximum principle Risk-sensitive control Logarithmic transformation

Option Pricing Model Driven by G-Lévy Process under the G-Expectation Framework: 《Journal of Applied Mathematics and Physics》2023年第1期46-54,共9页Yingmei Xu Yang Li; In this paper, we first present an option pricing model of stochastic differential equations driven by the G-Lévy process under the G-expectation framework, and prove the generalized Black-Scholes equations. Then, we...; 关键词：Generalized Black-Scholes Equations G-Lévy Process MATLAB

g-expectation of distributions: 《Probability, Uncertainty and Quantitative Risk》2022年第4期385-404,共20页Mingyu Xu Zuo Quan Xu Xun Yu Zhou; NSFC(Grant No.11971409);The Hong Kong RGC(GRF,Grant No.15202421);The PolyU-SDU Joint Research Center on Financial Mathematics;The CAS AMSS-POLYU Joint Laboratory of Applied Mathematics;The Hong Kong Polytechnic University;Xun Yu Zhou acknowledges financial support through a start-up grant and the Nie Center for Intelligent Asset Management at Columbia University.; We define g-expectation of a distribution as the infimum of the g-expectations of all the terminal random variables sharing that distribution.We present two special cases for nonlinear g where the g-expectation of dis...; 关键词：BSDE G-EXPECTATION Probability distribution Cost efficiency Law-invariance Portfolio selection

RBSDEs with optional barriers:monotone approximation: 《Probability, Uncertainty and Quantitative Risk》2022年第2期67-84,共18页Siham Bouhadou Astrid Hilbert Youssef Ouknine; In this short note we consider reflected backward stochastic differential equations(RBSDEs)with a Lipschitz driver and barrier processes that are optional and right lower semicontinuous.In this case,the barrier is rep...; 关键词：Reflected backward stochastic differential equation G-EXPECTATION Optional barrier Monotone approximation Comparison principle

Numerical Scheme for Solving Stochastic Differential Equations with G-Lévy Process: 《Journal of Applied Mathematics and Physics》2022年第2期466-474,共9页Jiawen Mei Yifei Xin; In this paper, we propose numerical schemes for stochastic differential equations driven by G-Lévy process under the G-expectation framework. By using G-Itôformula and G-expectation property, we propose Euler sc...; 关键词：G-Lévy Process G-Expectation Property SDEs Euler Scheme

Extended conditional G-expectations and related stopping times: 《Probability, Uncertainty and Quantitative Risk》2021年第4期369-390,共22页Mingshang Hu Shige Peng; National Key R&D Program of China(Grant No.2018YFA0703900);the National Natural Science Foundation of China(Grant No.11671231);Shige Peng is supported by the Tian Yuan Projection of the National Natural Science Foundation of China(Grant Nos.11526205 and 11626247);the National Basic Research Program of China(973 Program)(Grant No.2007CB814900(Financial Risk)).; In this paper,we extend the definition of conditional G-expectation to a larger space on which the dynamical consistency still holds.We can consistently define,by taking the limit,the conditional G-expectation for eac...; 关键词：G-EXPECTATION Conditional G-expectation Stopping times Optional stopping theorem

A Worst-Case Risk Measure by G-VaR被引量：2: 《Acta Mathematicae Applicatae Sinica》2021年第2期421-440,共20页Zi-ting PEI Xi-shun WANG Yu-hong XU Xing-ye YUE; supported by Natural Science Foundation of China and Jiangsu Province(No.11871050,No.11971342,No.11401414,No.BK20140299,No.14KJB110022)。; G-VaR,which is a type of worst-case value-at-risk(VaR),is defined as measuring risk incorporating model uncertainty.Compared with most extant notions of worst-case VaR,G-VaR can be computed using an explicit formula,a...; 关键词：risk measurement worst-case value-at-risk portfolio management G-EXPECTATION

Gradient estimates for nonlinear diffusion semigroups by coupling methods被引量：3: 《Science China Mathematics》2021年第5期1093-1108,共16页Yongsheng Song; supported by NCMIS, National Natural Science Foundation of China (Grant Nos.11871458 and 11688101);Key Research Program of Frontier Sciences, Chinese Academy of Sciences (Grant No.QYZDB-SSW-SYS017)。; In this paper, we obtain gradient estimates for certain nonlinear partial differential equations by coupling methods. First, we derive uniform gradient estimates for certain semi-linear PDEs based on the coupling meth...; 关键词：gradient estimates coupling methods G-EXPECTATION nonlinear PDEs

MARTINGALE INEQUALITIES UNDER G-EXPECTATION AND THEIR APPLICATIONS: 《Acta Mathematica Scientia》2021年第2期349-360,共12页Hanwu LI; supported by the German Research Foundation(DFG)via CRC 1283.; In this paper,we study the martingale inequalities under G-expectation and their applications.To this end,we introduce a new kind of random time,called G-stopping time,and then investigate the properties of a G-martin...; 关键词：G-EXPECTATION G-supermartingale upcrossing inequality

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

G-EXPECTATION