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8 papers · 2 filters
Wong-Zakai Approximation for SDEs Driven by Brownian Motion
Shige Peng, Huilin Zhang
In this paper, we build the equivalence between rough differential equations driven by the lifted -Brownian motion and the corresponding Stratonovich type SDE through the Wong-Z…
Stochastic Calculus with respect to G-Brownian Motion Viewed through Rough Paths
Shige Peng, Huilin Zhang
In this paper, we study rough path properties of stochastic integrals of Itô's type and Stratonovich's type with respect to -Brownian motion. The roughness of -Brownian Motio…
BSDEs on finite and infinite horizon with time-delayed generators
Peng Luo, Ludovic Tangpi
We consider a backward stochastic differential equation with a generator that can be subjected to delay, in the sense that its current value depends on the weighted past values of…
Multidimensional BSDEs with uniformly continuous coefficients: the general result
Min Li, Yufeng Shi
In this paper, by introducing a new notion of envelope of the stochastic process, we construct a family of random differential equations whose solutions can be viewed as solutions…
Generalized Wasserstein distance and weak convergence of sublinear expectations
Xinpeng Li, Yiqing Lin
In this paper, we define the generalized Wasserstein distance for sets of Borel probability measures and demonstrate that the weak convergence of sublinear expectations can be char…
Convergence of martingale and moderate deviations for a branching random walk with a random environment in time
Xiaoqiang Wang, Chunmao Huang
We consider a branching random walk on with a stationary and ergodic environment indexed by time . Let be the counting measure of parti…