Filtration-consistent nonlinear expectations and related \(g\)-expectations
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Publication:1849496
DOI10.1007/s004400100172zbMath1007.60057OpenAlexW2052855777MaRDI QIDQ1849496
Jean Mémin, François Coquet, Shige Peng, Ying Hu
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
\(g\)-martingalebackward stochastic differential equationnonlinear expectationnonlinear martingale Doob-Meyer decomposition
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