A necessary and sufficient condition for probability measures dominated by g-expectation

DOI10.1016/J.SPL.2008.07.037zbMATH Open1157.60329OpenAlexW1970007075MaRDI QIDQ1003422FDOQ1003422

Authors: Long Jiang 

Publication date: 4 March 2009

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

Full work available at URL: https://doi.org/10.1016/j.spl.2008.07.037

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Mathematics Subject Classification ID

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

Cites Work

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• Backward Stochastic Differential Equations in Finance
• Ambiguity, Risk, and Asset Returns in Continuous Time
• Adapted solution of a backward stochastic differential equation
• Choquet expectation and Peng's \(g\)-expectation
• Filtration-consistent nonlinear expectations and related \(g\)-expectations
• Risk measures via \(g\)-expectations
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• Jensen's inequality for \(g\)-expectation. I
• Jensen's inequality for \(g\)-expectation. II
• A converse comparison theorem for BSDEs and related properties of \(g\)-expectation
• Representation theorems for generators of backward stochastic differential equations and their applications
• On Jensen's inequality for \(g\)-expectation and for nonlinear expectation
• A property of backward stochastic differential equations
• Existence of Optimal Strategies Based on Specified Information, for a Class of Stochastic Decision Problems
• Existence of Optimal Stochastic Control Laws
• A note on \(g\)-expectation with comonotonic additivity

Cited In (4)

• Lenglart domination inequalities for \(g\)-expectations
• Dynamic risk measures for processes via backward stochastic differential equations
• Convexity and sublinearity of \(g\)-expectations
• A result on the probability measures dominated by \(g\)-expectation

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