Convexity and sublinearity of g-expectations

DOI10.1016/J.SPL.2022.109569MaRDI QIDQ2170234zbMATH OpenOpenAlexWikidataFDO

Authors Xuejun Shi, Jinming Zhou, Rong-Lin Ji, Shijie Wang

Publication date 30 August 2022

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2022.109569

zbMATH Keywords

\(g\)-expectationbackward stochastic differential equationconvexitydynamic risk measuresublinearity

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Actuarial mathematics (91G05)

Recommendations

• Convexity of g-expectations and its application
• Properties of sublinear g-expectations and their applications
• Convexity, translation invariance and subadditivity for \(g\)-expectations and related risk measures
• Some results on the representation of convex g-expectations
• Some properties of convex g-expectations

Cites work

• A necessary and sufficient condition for probability measures dominated by \(g\)-expectation
• A representation theorem for generators of BSDEs with finite or infinite time intervals and linear-growth generators
• Conditional and dynamic convex risk measures
• Convex risk measures and the dynamics of their penalty functions
• Convexity, translation invariance and subadditivity for \(g\)-expectations and related risk measures
• DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES
• Dynamic risk measures for processes via backward stochastic differential equations
• Dynamic risk measures: Time consistency and risk measures from BMO martingales
• scientific article; zbMATH DE number 1066320 (Why is no real title available?)
• scientific article; zbMATH DE number 1563401 (Why is no real title available?)
• Minimax pricing and Choquet pricing
• Multidimensional dynamic risk measure via conditional g-expectation
• Representation of the penalty term of dynamic concave utilities
• Time consistent dynamic risk processes

Cited in

(7)

• Convexity, translation invariance and subadditivity for \(g\)-expectations and related risk measures
• Some results on the representation of convex g-expectations
• Properties of sublinear g-expectations and their applications
• scientific article; zbMATH DE number 5734673 (Why is no real title available?)
• scientific article; zbMATH DE number 6177986 (Why is no real title available?)
• Convexity of g-expectations and its application
• Monotonicity and convergence for g-expectation of distributions

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