The domination of g-evaluations and Choquet evaluations

DOI10.1007/S10114-013-1630-5MaRDI QIDQ1949671zbMATH OpenOpenAlexFDO

Authors Kun He, Mingshang Hu

Publication date 14 May 2013

Published in Acta Mathematica Sinica, English Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10114-013-1630-5

zbMATH Keywords

\(g\)-evaluations\(g\)-expectationsBSDEsChoquet evaluations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Recommendations

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Cites work

• Adapted solution of a backward stochastic differential equation
• Ambiguity, Risk, and Asset Returns in Continuous Time
• Backward Stochastic Differential Equations in Finance
• Convexity, translation invariance and subadditivity for \(g\)-expectations and related risk measures
• scientific article; zbMATH DE number 1066320 (Why is no real title available?)
• scientific article; zbMATH DE number 2144817 (Why is no real title available?)
• The relationship between risk measures and Choquet expectations in the framework of \(g\)-expectations
• Theory of capacities

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