Conditional nonlinear expectations

DOI10.1016/j.spa.2019.03.014zbMath1444.60005arXiv1612.09103OpenAlexW2964325526WikidataQ128172357 ScholiaQ128172357MaRDI QIDQ2289810

Daniel Bartl

Publication date: 24 January 2020

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1612.09103

zbMATH Keywords

dynamic programmingnonlinear expectationsdual representationChoquet capacitymathematical finance under uncertaintytower property

Mathematics Subject Classification ID

Contents, measures, outer measures, capacities (28A12) Probabilistic measure theory (60A10) Applications of functional analysis in probability theory and statistics (46N30)

Related Items (5)

Markov risk mappings and risk-sensitive optimal prediction ⋮ A non-exponential extension of Sanov’s theorem via convex duality ⋮ Exponential utility maximization under model uncertainty for unbounded endowments ⋮ On nonlinear expectations and Markov chains under model uncertainty ⋮ Law invariant risk measures and information divergences

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