Lenglart domination inequalities for \(g\)-expectations

DOI10.1016/j.spl.2009.08.009zbMath1181.60094MaRDI QIDQ1036610

Guo-Qing 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

backward stochastic differential equations; \(g\)-expectations; Lenglart domination inequalities

Mathematics Subject Classification ID

60E15: Inequalities; stochastic orderings

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

Related Items

On optimal stopping and free boundary problems under ambiguity

Cites Work

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