A result on the probability measures dominated by \(g\)-expectation

DOI10.1007/s10255-004-0188-5zbMath1055.60059OpenAlexW2038379807MaRDI QIDQ1884661

Long Jiang, Zeng-Jing Chen

Publication date: 5 November 2004

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

Full work available at URL: https://doi.org/10.1007/s10255-004-0188-5

zbMATH Keywords

\(g\)-expectationbackward stochastic differential equationGirsanov transformationconditional \(g\)-expectation

Mathematics Subject Classification ID

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

Related Items (5)

The minimum mean square estimator of integrable variables under sublinear operators ⋮ The least squares estimator of random variables under sublinear expectations ⋮ A class of backward doubly stochastic differential equations with discontinuous coefficients ⋮ Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation ⋮ Law of large numbers under the nonlinear expectation

Cites Work

• Unnamed Item
• Adapted solution of a backward stochastic differential equation
• Jensen's inequality for \(g\)-expectation. I
• Jensen's inequality for \(g\)-expectation. II
• A converse comparison theorem for BSDEs and related properties of \(g\)-expectation
• Filtration-consistent nonlinear expectations and related \(g\)-expectations
• Ambiguity, Risk, and Asset Returns in Continuous Time

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