Choquet expectation and Peng's \(g\)-expectation

DOI10.1214/009117904000001053zbMath1066.60054arXivmath/0506598OpenAlexW2037229987WikidataQ56906889 ScholiaQ56906889MaRDI QIDQ1781180

Tao Chen, Matt Davison, Zeng-Jing Chen

Publication date: 23 June 2005

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0506598

zbMATH Keywords

backward stochastic differential equationsrepresentation theorem of \(g\)-expectation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generalizations of martingales (60G48)

Related Items (34)

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Cites Work

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