A property of \(g\)-expectation

DOI10.1007/S10114-004-0377-4zbMath1065.60065OpenAlexW1964565535MaRDI QIDQ1780286

Long Jiang

Publication date: 7 June 2005

Published in: Acta Mathematica Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10114-004-0377-4

zbMATH Keywords

comparison theorembackward stochastic differential equationconditional \(g\)-expectationprice system

Mathematics Subject Classification ID

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

Related Items (7)

Jensen's inequality for backward stochastic differential equations ⋮ Limit theorem and uniqueness theorem of backward stochastic differential equations ⋮ Jensen's inequality for filtration consistent nonlinear expectation without domination condition ⋮ The maximum principle for one kind of stochastic optimization problem and application in dynamic measure of risk ⋮ Representation theorem for generators of quadratic BSDEs ⋮ Moment inequality and Hölder inequality for BSDEs ⋮ A note on Jensen's inequality for BSDEs

Cites Work

• Unnamed Item
• Adapted solution of a backward stochastic differential equation
• A converse comparison theorem for BSDEs and related properties of \(g\)-expectation
• Filtration-consistent nonlinear expectations and related \(g\)-expectations
• A property of backward stochastic differential equations
• Backward Stochastic Differential Equations in Finance
• Ambiguity, Risk, and Asset Returns in Continuous Time

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