Nonlinear expectations and nonlinear Markov chains

DOI10.1142/S0252959905000154zbMath1077.60045MaRDI QIDQ2483722

Shige Peng

Publication date: 26 July 2005

Published in: Chinese Annals of Mathematics. Series B (Search for Journal in Brave)

zbMATH Keywords

Doob-Meyer decomposition\(g\)-expectation\(g\)-martingaleBackward stochastic differential equationsMeasure of riskNonlinear Kolmogorov's consistent theorem

Mathematics Subject Classification ID

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

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