Backward nonlinear expectation equations
DOI10.1007/S11579-017-0199-7zbMATH Open1404.91091OpenAlexW3123398757MaRDI QIDQ1702883FDOQ1702883
Authors: Christoph Belak, Thomas Seiferling, Frank Thomas Seifried 
Publication date: 1 March 2018
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11579-017-0199-7
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backward stochastic differential equationrecursive utilityvolatility uncertaintynonlinear expectationrandom \(G\)-expectation
Utility theory (91B16) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)
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