A property of \(g\)-expectation

DOI10.1007/s10114-004-0377-4zbMath1065.60065MaRDI 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 theorem; backward stochastic differential equation; conditional \(g\)-expectation; price system

Mathematics Subject Classification ID

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

Related Items

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, Moment inequality and Hölder inequality for BSDEs, A note on Jensen's inequality for BSDEs, Representation theorem for generators of quadratic BSDEs, The maximum principle for one kind of stochastic optimization problem and application in dynamic measure of risk

Cites Work

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• 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