Generalized Peng's \(g\)-expectations and related properties (Q844869): Difference between revisions

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-Zeng-Jing Chen
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+Zeng-Jing Chen
@@ Property / author: Zeng-Jing Chen / rank @@
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@@ Property / MaRDI profile type @@
+MaRDI publication profile
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.spl.2009.10.006
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@@ Property / OpenAlex ID @@
+W2004556613
@@ Property / OpenAlex ID: W2004556613 / rank @@
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@@ Property / cites work @@
+A converse comparison theorem for BSDEs and related properties of \(g\)-expectation
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+\(L^p\) solutions of backward stochastic differential equations.
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@@ Property / cites work @@
+A property of backward stochastic differential equations
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+Choquet expectation and Peng's \(g\)-expectation
@@ Property / cites work: Choquet expectation and Peng's \(g\)-expectation / rank @@
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+Ambiguity, Risk, and Asset Returns in Continuous Time
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+Jensen's inequality for \(g\)-expectation. I
@@ Property / cites work: Jensen's inequality for \(g\)-expectation. I / rank @@
+Normal rank
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+Jensen's inequality for \(g\)-expectation. II
@@ Property / cites work: Jensen's inequality for \(g\)-expectation. II / rank @@
+Normal rank
@@ Property / cites work @@
+Filtration-consistent nonlinear expectations and related \(g\)-expectations
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+Backward Stochastic Differential Equations in Finance
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@@ Property / cites work @@
+On Jensen's inequality for \(g\)-expectation and for nonlinear expectation
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@@ Property / cites work @@
+Representation theorems for generators of backward stochastic differential equations and their applications
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@@ Property / cites work @@
+A note on \(g\)-expectation with comonotonic additivity
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+Adapted solution of a backward stochastic differential equation
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@@ Property / cites work @@
+Q4357507
@@ Property / cites work: Q4357507 / rank @@
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@@ Property / cites work @@
+Risk measures via \(g\)-expectations
@@ Property / cites work: Risk measures via \(g\)-expectations / rank @@
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