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4 papers · 2 filters
On Independence for Capacities to Fit Ellsberg's Model with a Weak Law of Large Numbers
Weihuan Huang, Yiwei Lin
This paper introduces new notions of Fubini independence and Exponential independence of random variables under capacities to fit Ellsberg's model, and finds out the relations betw…
Differential equations driven by rough paths with jumps
Peter K. Friz, Huilin Zhang
We develop the rough path counterpart of Itô stochastic integration and - differential equations driven by general semimartingales. This significantly enlarges the classes of (Itô…
Representation of asymptotic values for nonexpansive stochastic control systems
Juan Li, Nana Zhao
In ergodic stochastic problems the limit of the value function of the associated discounted cost functional with infinite time horizon is studied, when the discounted factor…
Supermartingale Decomposition Theorem under G-expectation
Hanwu Li, Shige Peng, Yongsheng Song
The objective of this paper is to establish the decomposition theorem for supermartingales under the -framework. We first introduce a -nonlinear expectation via a kind of …