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Chinese Academy of Sciences Institutional Repositories Grid
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CAS IR Grid
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数学与系统科学研究院 [6]
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OAI收割 [6]
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期刊论文 [6]
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2019 [1]
2018 [1]
2017 [1]
2015 [1]
2011 [1]
2010 [1]
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Limit theorems with rate of convergence under sublinear expectations
期刊论文
OAI收割
BERNOULLI, 2019, 卷号: 25, 期号: 4A, 页码: 2564-2596
作者:
Fang, Xiao
;
Peng, Shige
;
Shao, Qi-Man
;
Song, Yongsheng
  |  
收藏
  |  
浏览/下载:74/0
  |  
提交时间:2020/01/10
central limit theorem
G-normal distribution
law of large numbers
rate of convergence
Stein's method
sublinear expectation
Supermartingale decomposition theorem under G-expectation
期刊论文
OAI收割
ELECTRONIC JOURNAL OF PROBABILITY, 2018, 卷号: 23, 页码: 20
作者:
Li, Hanwu
;
Peng, Shige
;
Song, Yongsheng
  |  
收藏
  |  
浏览/下载:16/0
  |  
提交时间:2018/07/30
G-expectation
(E)over-cap(9)-supermartingale
(E)over-cap(9)-supermartingale decomposition theorem
Stein type characterization for G-normal distributions
期刊论文
OAI收割
ELECTRONIC COMMUNICATIONS IN PROBABILITY, 2017, 卷号: 22, 页码: 12
作者:
Hu, Mingshang
;
Peng, Shige
;
Song, Yongsheng
  |  
收藏
  |  
浏览/下载:21/0
  |  
提交时间:2018/07/30
G-normal distribution
Stein type characterization
G-expectation
G-expectation weighted Sobolev spaces, backward SDE and path dependent PDE
期刊论文
OAI收割
JOURNAL OF THE MATHEMATICAL SOCIETY OF JAPAN, 2015, 卷号: 67, 期号: 4, 页码: 1725-1757
作者:
Peng, Shige
;
Song, Yongsheng
  |  
收藏
  |  
浏览/下载:17/0
  |  
提交时间:2018/07/30
backward SDEs
partial differential equations
path dependent PDEs
G-expectation
G-martingale
Sobolev space
G-Sobolev space
NUMERICAL ALGORITHMS FOR BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS WITH 1-D BROWNIAN MOTION: CONVERGENCE AND SIMULATIONS
期刊论文
OAI收割
ESAIM-MATHEMATICAL MODELLING AND NUMERICAL ANALYSIS-MODELISATION MATHEMATIQUE ET ANALYSE NUMERIQUE, 2011, 卷号: 45, 期号: 2, 页码: 335-360
作者:
Peng, Shige
;
Xu, Mingyu
  |  
收藏
  |  
浏览/下载:7/0
  |  
提交时间:2018/07/30
Backward stochastic differential equations
reflected stochastic differential equations with one barrier
numerical algorithm
numerical simulation
Reflected BSDE with a constraint and its applications in an incomplete market
期刊论文
OAI收割
BERNOULLI, 2010, 卷号: 16, 期号: 3, 页码: 614-640
作者:
Peng, Shige
;
Xu, Mingyu
  |  
收藏
  |  
浏览/下载:11/0
  |  
提交时间:2018/07/30
American options in an incomplete market
backward stochastic differential equation with a constraint
reflected backward stochastic differential equation