A general downcrossing inequality for \(g\)-martingales

DOI10.1016/S0167-7152(99)00102-9zbMath0954.60049OpenAlexW2099755112MaRDI QIDQ1971382

Shige Peng, Zeng-Jing Chen

Publication date: 5 February 2001

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-7152(99)00102-9

zbMATH Keywords

backward stochastic differential equations\(g\)-expectation\(g\)-martingaledowncrossing inequality

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (20)

A central limit theorem for sets of probability measures ⋮ Acceptability indexes via \(g\)-expectations: an application to liquidity risk ⋮ Second order reflected backward stochastic differential equations ⋮ Unnamed Item ⋮ Probabilistic interpretation for solutions of fully nonlinear stochastic pdes ⋮ Second-order BSDEs with general reflection and game options under uncertainty ⋮ Optimal stopping under ambiguity in continuous time ⋮ Dynamic programming approach to reflected backward stochastic differential equations ⋮ Dual formulation of second order target problems ⋮ Jensen's inequality for \(g\)-expectation. I ⋮ Representation of the penalty term of dynamic concave utilities ⋮ Filtration consistent nonlinear expectations and evaluations of contingent claims ⋮ Risk measures via \(g\)-expectations ⋮ Stochastic ordering by \(g\)-expectations ⋮ Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation ⋮ Maximal inequalities for \(g\)-martingales ⋮ Retracted: Sublinear expectation nonlinear regression for the financial risk measurement and management ⋮ Lenglart domination inequalities for \(g\)-expectations ⋮ BSDEs with weak terminal condition ⋮ Existence of relaxed stochastic optimal control for G-SDEs with controlled jumps

Cites Work

• Unnamed Item
• Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer's type
• Backward Stochastic Differential Equations in Finance
• Classical potential theory and its probabilistic counterpart.

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