Lenglart domination inequalities for g-expectations

DOI10.1016/J.SPL.2009.08.009MaRDI QIDQ1036610zbMATH OpenOpenAlexFDO

Authors Guoqing Zhao

Publication date 13 November 2009

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

Full work available at URL https://doi.org/10.1016/j.spl.2009.08.009

zbMATH Keywords

\(g\)-expectationsbackward stochastic differential equationsLenglart domination inequalities

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cites work

• A general downcrossing inequality for g-martingales
• Ambiguity, Risk, and Asset Returns in Continuous Time
• Backward Stochastic Differential Equations in Finance
• Backward stochastic differential equations with jumps and related nonlinear expectations
• Coherent measures of risk
• From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process¹
• scientific article; zbMATH DE number 3581363 (Why is no real title available?)
• scientific article; zbMATH DE number 1066320 (Why is no real title available?)
• Jensen's inequality for \(g\)-expectation. I
• Maximal inequalities for \(g\)-martingales
• Minimax tests and the Neyman-Pearson lemma for capacities
• Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer's type
• On a problem of necessary and sufficient conditions in the functional central limit theorem for local martingales
• Risk measures via g-expectations

Cited in

(4)

• A necessary and sufficient condition for probability measures dominated by \(g\)-expectation
• On optimal stopping and free boundary problems under ambiguity
• A result on the probability measures dominated by g-expectation
• Sharpness of Lenglart's domination inequality and a sharp monotone version

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