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2015 Invariant and ergodic nonlinear expectations for $G$-diffusion processes
Mingshang Hu, Hanwu Li, Falei Wang, Guoqiang Zheng
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Electron. Commun. Probab. 20: 1-15 (2015). DOI: 10.1214/ECP.v20-3886

Abstract

In this paper we study the problems of invariant and ergodic expectations under $G$-expectation framework. In particular, the stochastic differential equations driven by $G$-Brownian motion have the unique invariant and ergodic expectations. Moreover, the invariant and ergodic expectations of $G$-SDEs are also sublinear expectations. However, the invariant expectations may not coincide with the ergodic expectations, which is different from the classical case.

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Mingshang Hu. Hanwu Li. Falei Wang. Guoqiang Zheng. "Invariant and ergodic nonlinear expectations for $G$-diffusion processes." Electron. Commun. Probab. 20 1 - 15, 2015. https://doi.org/10.1214/ECP.v20-3886

Information

Accepted: 29 March 2015; Published: 2015
First available in Project Euclid: 7 June 2016

zbMATH: 1321.60153
MathSciNet: MR3327869
Digital Object Identifier: 10.1214/ECP.v20-3886

Subjects:
Primary: 60H10
Secondary: 60H30

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