The existence of invariant sublinear expectations for $G$-SDEs

Abstract

In this paper, we study the existence of invariant sublinear expectations of Markovian semigroups on sublinear expectation spaces. To achieve this, we establish a complete metric space of sublinear expectations, on which we extend Harris' method to the nonlinear setting on the convergence of sublinear semigroups. We then explore two cases of $G\text{-}$diffusions by studying the Lyapunov function and the local Doeblin condition. One is the $G\text{-}$Brownian motion on the unit circle which is the case studied in Feng and Zhao \cite{Zhaonon}, but with the new method. Another is the multidimensional $G\text{-}$SDEs on the whole space ${\mathbb{R}}^d$. We establish, for the first time in the literature, the existence of the invariant sublinear expectation for $G\text{-}$SDEs under the non-degenerate and weakly dissipative assumption. For this, we prove that for a class of $G\text{-}$SDEs, the $G\text{-}$expectation can be represented as the supremum of the semigroup of a family of SDEs, of which the regularity is obtained by considering the Bismut-Elworthy-Li formula and the Denis-Hu-Peng representation for the distribution of $G\text{-}$Brownian motions.

35 pages, this work has been accepted by the SIAM Journal on Mathematical Analysis