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Non-linear expectations in spaces of Colombeau generalized functions

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dc.contributor.authorFilinkov, A.
dc.contributor.authorElliott, R.J.
dc.date.issued2019
dc.description.abstractWe 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.
dc.identifier.citationStochastic Analysis and Applications, 2019; 37(4):509-521
dc.identifier.doi10.1080/07362994.2019.1585265
dc.identifier.issn0736-2994
dc.identifier.issn1532-9356
dc.identifier.urihttps://hdl.handle.net/11541.2/136534
dc.language.isoen
dc.publisherTaylor & Francis
dc.relation.fundingARC
dc.rightsCopyright 2019 Taylor & Francis Access Condition Notes: Accepted manuscript available after 1 April 2020
dc.source.urihttps://doi.org/10.1080/07362994.2019.1585265
dc.subjectgeneralized solutions
dc.subjectColombeau algebras
dc.subjectnon-linear heat equation
dc.subjectG-expectation
dc.subjectbackward stochastic differential equations
dc.titleNon-linear expectations in spaces of Colombeau generalized functions
dc.typeJournal article
pubs.publication-statusPublished
ror.fileinfo12179544220001831 13179535580001831 non-linear expectations.pdf
ror.mmsid9916269205601831

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