Dynamical evaluations
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Cites work
- scientific article; zbMATH DE number 1066320 (Why is no real title available?)
- Filtration consistent nonlinear expectations and evaluations of contingent claims
- Filtration-consistent nonlinear expectations and related \(g\)-expectations
- Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer's type
- Nonlinear expectations and nonlinear Markov chains
Cited in
(13)- Some properties of \(g\)-convex functions
- Jensen's inequality for \(g\)-convex function under \(g\)-expectation
- Jump-filtration consistent nonlinear expectations with \(\mathbb{L}^p\) domains
- Dynamical signatures
- Doubly reflected BSDEs with integrable parameters and related Dynkin games
- Set-valued risk measures as backward stochastic difference inclusions and equations
- Dynamically consistent nonlinear evaluations with their generating functions in \(L^p\)
- Dual representation as stochastic differential games of backward stochastic differential equations and dynamic evaluations
- \(\mathbb{L}^{p}\) solutions of reflected backward stochastic differential equations with jumps
- On \(g\)-evaluations with \(\mathbb{L}^p\) domains under jump filtration
- On Jensen's inequality, Hölder's inequality, and Minkowski's inequality for dynamically consistent nonlinear evaluations
- On the representation for dynamically consistent nonlinear evaluations: uniformly continuous case
- Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
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