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Rate of convergence of linear functions on the unitary group
Rate of convergence linear functions unitary group
2010/11/29
We study the rate of convergence to a normal random variable of the real and imaginary parts of TrANU, where U is an N ×N random unitary matrix and AN is a deterministic complex matrix.
Backward stochastic differential equations under super linear G-expectation and associated Hamilton-Jacobi-Bellman equations
G-Brownian motion super linear expectation normal distribution backward stochastic differential equations
2010/11/30
This paper first studies super linear G-expectation. Uniqueness and existence theorem for backward stochastic differential equations (BSDEs) under super linear expectation is stablished to provide pro...