Convexity, translation invariance and subadditivity for \(g\)-expectations and related risk measures (Q2476405)
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scientific article; zbMATH DE number 5251138
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| English | Convexity, translation invariance and subadditivity for \(g\)-expectations and related risk measures |
scientific article; zbMATH DE number 5251138 |
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Convexity, translation invariance and subadditivity for \(g\)-expectations and related risk measures (English)
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19 March 2008
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backward stochastic differential equation
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\(g\)-expectation
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translation invariance of \(g\)-expectation
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convexity of \(g\)-expectation
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risk measure
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0.8745120763778687
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0.8636061549186707
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0.8496753573417664
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0.8488888144493103
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0.8181410431861877
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