In this paper,the Harnack inequality for G-SDEs with degenerate noise is derived by the method of coupling by change of the measure.Moreover,for any bounded and continuous function f,the gradient estimate∣∇P_(t)f∣≤...In this paper,the Harnack inequality for G-SDEs with degenerate noise is derived by the method of coupling by change of the measure.Moreover,for any bounded and continuous function f,the gradient estimate∣∇P_(t)f∣≤c(p,t)(Pt|f|p)^(1/p),p>1,t>0 is obtained for the associated nonlinear semigroup P¯t.As an application of the Harnack inequality,we prove the existence of the weak solution to degenerate G-SDEs under some integrable condition.Finally,an example is presented.All of the above results extend the existing ones in the linear expectation setting.展开更多
In this paper,the Harnack and shift Harnack inequalities for functional G-SDEs with degenerate noise are derived by the method of coupling by change of measure.Moreover,the gradient estimate for the associated nonline...In this paper,the Harnack and shift Harnack inequalities for functional G-SDEs with degenerate noise are derived by the method of coupling by change of measure.Moreover,the gradient estimate for the associated nonlinear semigroup P_(t) is obtained.All of the above results extend the existed results in linear expectation setting.展开更多
In this paper, we propose numerical schemes for stochastic differential equations driven by G-Lévy process under the G-expectation framework. By using G-Itôformula and G-expectation property, we propose ...In this paper, we propose numerical schemes for stochastic differential equations driven by G-Lévy process under the G-expectation framework. By using G-Itôformula and G-expectation property, we propose Euler scheme and Milstein scheme which have order-1.0 convergence rate. And two numerical experiments including Ornstein-Uhlenbeck and Black-Scholes cases are given.展开更多
The path independence of additive functionals for stochastic differential equations (SDEs) driven by the G-Brownian motion is characterized by the nonlinear partial differential equations. The main result generalizes ...The path independence of additive functionals for stochastic differential equations (SDEs) driven by the G-Brownian motion is characterized by the nonlinear partial differential equations. The main result generalizes the existing ones for SDEs driven by the standard Brownian motion.展开更多
基金supported by National Natural Science Foundation of China(Grant No.11801406).
文摘In this paper,the Harnack inequality for G-SDEs with degenerate noise is derived by the method of coupling by change of the measure.Moreover,for any bounded and continuous function f,the gradient estimate∣∇P_(t)f∣≤c(p,t)(Pt|f|p)^(1/p),p>1,t>0 is obtained for the associated nonlinear semigroup P¯t.As an application of the Harnack inequality,we prove the existence of the weak solution to degenerate G-SDEs under some integrable condition.Finally,an example is presented.All of the above results extend the existing ones in the linear expectation setting.
文摘In this paper,the Harnack and shift Harnack inequalities for functional G-SDEs with degenerate noise are derived by the method of coupling by change of measure.Moreover,the gradient estimate for the associated nonlinear semigroup P_(t) is obtained.All of the above results extend the existed results in linear expectation setting.
文摘In this paper, we propose numerical schemes for stochastic differential equations driven by G-Lévy process under the G-expectation framework. By using G-Itôformula and G-expectation property, we propose Euler scheme and Milstein scheme which have order-1.0 convergence rate. And two numerical experiments including Ornstein-Uhlenbeck and Black-Scholes cases are given.
文摘The path independence of additive functionals for stochastic differential equations (SDEs) driven by the G-Brownian motion is characterized by the nonlinear partial differential equations. The main result generalizes the existing ones for SDEs driven by the standard Brownian motion.
