Maximal inequalities for \(g\)-martingales
From MaRDI portal
Publication:1017811
DOI10.1016/j.spl.2009.01.002zbMath1174.60020MaRDI QIDQ1017811
Publication date: 12 May 2009
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2009.01.002
60G48: Generalizations of martingales
60H15: Stochastic partial differential equations (aspects of stochastic analysis)
Related Items
Cites Work
- The Pricing of Options and Corporate Liabilities
- Adapted solution of a backward stochastic differential equation
- Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer's type
- Jensen's inequality for \(g\)-expectation. I
- Jensen's inequality for \(g\)-expectation. II
- On Jensen's inequality for \(g\)-expectation
- A general downcrossing inequality for \(g\)-martingales
- Pricing Via Utility Maximization and Entropy
- Stochastic Hamilton–Jacobi–Bellman Equations
- Backward Stochastic Differential Equations in Finance
- Continuous properties of \(g\)-martingales
- Unnamed Item
- Unnamed Item
- Unnamed Item