On \(g\)-evaluations with \(\mathbb{L}^p\) domains under jump filtration (Q4607789)
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scientific article; zbMATH DE number 6850128
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| English | On \(g\)-evaluations with \(\mathbb{L}^p\) domains under jump filtration |
scientific article; zbMATH DE number 6850128 |
Statements
On<i>g</i>−evaluations with domains under jump filtration (English)
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14 March 2018
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backward stochastic differential equation with jumps
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\(\mathbb{L}^p\) solutions
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\(g\)-evaluation
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\(g\)-expectation
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optional sampling
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upcrossing inequality
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Doob-Meyer decomposition
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generator representation
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reverse comparision theorem of BSDEJs
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Jensen inequality
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0.8786537647247314
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0.7810558676719666
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0.7659155130386353
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0.7648507356643677
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