Filtration-consistent nonlinear expectations and related \(g\)-expectations
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Publication:1849496
DOI10.1007/s004400100172zbMath1007.60057MaRDI QIDQ1849496
Shige Peng, Ying Hu, Jean Mémin, François Coquet
Publication date: 1 December 2002
Published in: Probability Theory and Related Fields (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s004400100172
\(g\)-martingale; backward stochastic differential equation; nonlinear expectation; nonlinear martingale Doob-Meyer decomposition
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
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