arXiv subjects

Yulian Fan

Publications and source records attributed to Yulian Fan.

2 recordsLinked to original sources

arXiv2013

Some apriori estimates of G-BSDEs and the G-martingale representation for a special case

This paper presents the integral(or differential) form of G-BSDEs, gives some kind of apriori estimates of their solutions, and under a very strong condition, proves the G-martingale representation theorem, and the existence and uniqueness theorem of G-BSDEs.

math.PR↗

arXiv2013

Conditional G-expectation in $\mathbb{L}^{p}$ and related Itô's calculus

In this paper, we define a dynamically consistent conditional G-expectation in space $\mathbb{L}^{p}$, and give the related stochastic calculus of Itô's type, especially get Itô's formula for a general $C^{1,2}$-function.

math.PR↗