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Abstract We introduce the notion of a non-linear expectation in spaces of Colombeau generalized functions and provide its characterization in terms of the upper expectation over a set of probability… Click to show full abstract
Abstract We introduce the notion of a non-linear expectation in spaces of Colombeau generalized functions and provide its characterization in terms of the upper expectation over a set of probability measures. We then study a fully non-linear backward stochastic differential equation in the Colombeau setting via its connection with the corresponding fully non-linear partial differential equation.
Keywords:
colombeau generalized;
expectations spaces;
non linear;
linear expectations;
spaces colombeau;
generalized functions
Journal Title: Stochastic Analysis and Applications
Year Published: 2019
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Journal Title: Stochastic Analysis and Applications
Year Published: 2019
Link to full text (if available)
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recommendations!