Wyniki wyszukiwania - BazTech

Ograniczanie wyników

2 Opuscula Mathematica

Znaleziono wyników: 2

Liczba wyników na stronie

Wyniki wyszukiwania

Sortuj według:

Ogranicz wyniki do:

Stochastic differential equations for random matrices processes in the nonlinear framework

Stihi S., Boutabia H., Meradji S

Opuscula Mathematica

2018

Vol. 38, no. 2

261--283

In this paper, we investigate the processes of eigenvalues and eigenvectors of a symmetric matrix valued process Xt, where Xt is the solution of a general SDE driven by a G-Brownian motion matrix. Stochastic differential equations of these processes are given. This extends results obtained by P. Graczyk and J. Malecki in [Multidimensional Yamada-Watanabe theorem and its applications to particle systems, J. Math. Phys. 54 (2013), 021503].

Chaotic expansion in the G-expectation space

Boutabia H., Grabsia I.

Opuscula Mathematica

2013

Vol. 33, no. 4

647--666

In this paper, we are motivated by uncertainty problems in volatility. We prove the equivalent theorem of Wiener chaos with respect to G-Brownian motion in the framework of a sublinear expectation space. Moreover, we establish some relationship between Hermite polynomials and G-stochastic multiple integrals. An equivalent of the orthogonality of Wiener chaos was found.