Non-linear expectations in spaces of Colombeau generalized functions
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2019
Authors
Filinkov, A.
Elliott, R.J.
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Stochastic Analysis and Applications, 2019; 37(4):509-521
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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.
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Copyright 2019 Taylor & Francis
Access Condition Notes: Accepted manuscript available after 1 April 2020