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G-expectations in infinite dimensional spaces and related PDEs | | Anton Ibragimov
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22 Jun 2013 | | Abstract: | In this paper, we extend the G-expectation theory to infinite dimensions.
Such notions as a covariation set of G-normal distributed random variables,
viscosity solution, a stochastic integral driven by G-Brownian motion are
introduced and described in the given infinite dimensional case. We also give a
probabilistic representation of the unique viscosity solution to the fully
nonlinear parabolic PDE with unbounded first order term in Hilbert space in
terms of G-expectation theory. | | Source: | arXiv, 1306.5272 | | Services: | Forum | Review | PDF | Favorites | |
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