Explicit solutions of G-heat equation with a class of initial conditions by G-Brownian motion

Abstract

We obtain the viscosity solution of G-heat equation with the initial condition $\varphi (x)=x^n$ for each integer $n\ge 1$ using the method of G-Brownian motion.

12 pages

References in corpus (3)

• A New Central Limit Theorem under Sublinear Expectations
• G-Brownian Motion and Dynamic Risk Measure under Volatility Uncertainty
• Law of Large Numbers and Central Limit Theorem under Nonlinear Expectations