Minimax pricing and Choquet pricing (Q2499830): Difference between revisions

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+BSDE associated with Lévy processes and application to PDIE
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+Ambiguity, Risk, and Asset Returns in Continuous Time
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+A comonotonic theorem for BSDEs
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+Choquet expectation and Peng's \(g\)-expectation
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+Theory of capacities
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+Bayesian inference using intervals of measures
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+Choquet pricing and equilibrium.
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+Nonmonotonic Choquet integrals
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+Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
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+Backward Stochastic Differential Equations in Finance
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+Minimax tests and the Neyman-Pearson lemma for capacities
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+Backward stochastic differential equations and Feynman-Kac formula for Lévy processes, with applications in finance
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+Adapted solution of a backward stochastic differential equation
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+A Simple Axiomatization of Nonadditive Expected Utility
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+Testing and Characterizing Properties of Nonadditive Measures Through Violations of the Sure-Thing Principle
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+Comonotonicity, correlation order and premium principles
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+Axiomatic characterization of insurance prices
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+Bayes' theorem for Choquet capacities
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+Optimal insurance under Wang's premium principle.
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+On stochastic differential equations driven by a Cauchy process and other stable Lévy motions
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