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19962026
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Showing 2006 · math.PRShow all

3 papers · 2 filters

math.PR2006★ 5 cited

Local Strict Comparison Theorem and Converse Comparison Theorems for Reflected Backward Stochastic Differential Equations

Juan Li, Shanjian Tang

A local strict comparison theorem and some converse comparison theorems are proved for reflected backward stochastic differential equations under suitable conditions.

math.PR2006★ 74 cited

Stationary Solutions of SPDEs and Infinite Horizon BDSDEs

Qi Zhang, Huaizhong Zhao

In this paper we study the existence of stationary solutions for stochastic partial differential equations. We establish a new connection between $L_ρ^2({\mathbb{R}^{d}};{\mathbb{R…

math.PR2006

Multi-Dimensional G-Brownian Motion and Related Stochastic Calculus under G-Expectation

Shige Peng

We develop a notion of nonlinear expectation --G-expectation-- generated by a nonlinear heat equation with infinitesimal generator G. We first study multi-dimensional G-normal dist…