Note on Viscosity Solution of Path-Dependent PDE and G-Martingales
暂无分享,去创建一个
[1] Hui Jiang,et al. Large deviations for stochastic differential equations driven by G-Brownian motion , 2010 .
[2] S. Peng. G -Expectation, G -Brownian Motion and Related Stochastic Calculus of Itô Type , 2006, math/0601035.
[3] Rama Cont,et al. Change of variable formulas for non-anticipative functionals on path space ✩ , 2010, 1004.1380.
[4] S. Peng,et al. Adapted solution of a backward stochastic differential equation , 1990 .
[5] P. Lions,et al. User’s guide to viscosity solutions of second order partial differential equations , 1992, math/9207212.
[6] S. Peng. A Generalized dynamic programming principle and hamilton-jacobi-bellman equation , 1992 .
[7] Shige Peng,et al. Function Spaces and Capacity Related to a Sublinear Expectation: Application to G-Brownian Motion Paths , 2008, 0802.1240.
[8] Yongsheng Song,et al. Some properties on G-evaluation and its applications to G-martingale decomposition , 2010, 1001.2802.
[9] S. Peng. Backward Stochastic Differential Equation, Nonlinear Expectation and Their Applications , 2011 .
[10] Nizar Touzi,et al. Martingale Representation Theorem for the G-Expectation , 2010 .
[11] Shige Peng,et al. NONLINEAR EXPECTATIONS AND NONLINEAR MARKOV CHAINS , 2005 .
[12] A. Polyakov. Gauge fields as rings of glue , 1980 .
[13] ShigePeng. Filtration Consistent Nonlinear Expectations and Evaluations of Contingent Claims , 2004 .
[14] Marcel Nutz,et al. Random G-expectations. , 2010, 1009.2168.
[15] S. Peng,et al. Backward Stochastic Differential Equations in Finance , 1997 .
[16] Shige Peng,et al. Stochastic Hamilton-Jacobi-Bellman equations , 1992 .
[17] Shige Peng,et al. Probabilistic interpretation for systems of quasilinear parabolic partial differential equations , 1991 .
[18] Properties of hitting times for $G$-martingale , 2010, 1001.4907.
[19] W. Fleming,et al. Controlled Markov processes and viscosity solutions , 1992 .
[20] S. Peng,et al. BSDE, path-dependent PDE and nonlinear Feynman-Kac formula , 2011, 1108.4317.
[21] S. Peng,et al. Backward stochastic differential equations and quasilinear parabolic partial differential equations , 1992 .
[22] H. Soner,et al. Second‐order backward stochastic differential equations and fully nonlinear parabolic PDEs , 2005, math/0509295.
[23] Shige Peng,et al. On representation theorem of G-expectations and paths of G-Brownian motion , 2009, 0904.4519.
[24] R. Newcomb. VISCOSITY SOLUTIONS OF HAMILTON-JACOBI EQUATIONS , 2010 .
[25] Shige Peng,et al. Survey on normal distributions, central limit theorem, Brownian motion and the related stochastic calculus under sublinear expectations , 2009 .
[26] Fuqing Gao,et al. Pathwise properties and homeomorphic flows for stochastic differential equations driven by G-Brownian motion , 2009 .
[27] X. Zhou,et al. Stochastic Controls: Hamiltonian Systems and HJB Equations , 1999 .
[28] S. Peng. Nonlinear Expectations and Stochastic Calculus under Uncertainty , 2010, Probability Theory and Stochastic Modelling.