On the integral representation of g-expectations with terminal constraints
DOI10.1016/J.JMAA.2017.02.058zbMATH Open1378.60084arXiv1502.03875OpenAlexW2964019729MaRDI QIDQ2400639FDOQ2400639
Authors: Xiaojuan Li 
Publication date: 29 August 2017
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1502.03875
Recommendations
- On the integral representation of \(g\)-expectations
- An integral representation theorem of \(g\)-expectations
- Some results on the representation of convex \(g\)-expectations
- Convexity of $g$-expectations and its application
- Inf-convolution of \(G\)-expectations
- Representing filtration consistent nonlinear expectations as \(g\)-expectations in general probability spaces
- Convergence theorems for generalized \(g\)-expectations
- Stochastic representation under \(g\)-expectation and applications: the discrete time case
- Some properties of convex \(g\)-expectations
- Generalized Peng's \(g\)-expectations and related properties
backward stochastic differential equations\(g\)-expectationsChoquet expectationsconditional \(g\)-expectations
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Cites Work
- Non-additive measure and integral
- Conjugate convex functions in optimal stochastic control
- A dynamic maximum principle for the optimization of recursive utilities under constraints.
- \(L^p\) solutions of backward stochastic differential equations.
- Subjective Probability and Expected Utility without Additivity
- Stochastic Differential Utility
- Title not available (Why is that?)
- An Introductory Approach to Duality in Optimal Stochastic Control
- Backward Stochastic Differential Equations in Finance
- Ambiguity, Risk, and Asset Returns in Continuous Time
- Adapted solution of a backward stochastic differential equation
- Representation of the penalty term of dynamic concave utilities
- Choquet expectation and Peng's \(g\)-expectation
- Filtration-consistent nonlinear expectations and related \(g\)-expectations
- Convexity, translation invariance and subadditivity for \(g\)-expectations and related risk measures
- Risk measures via \(g\)-expectations
- Title not available (Why is that?)
- Theory of capacities
- The relationship between risk measures and Choquet expectations in the framework of \(g\)-expectations
- A converse comparison theorem for BSDEs and related properties of \(g\)-expectation
- A comonotonic theorem for BSDEs
- An integral representation theorem of \(g\)-expectations
- On the integral representation of \(g\)-expectations
Cited In (1)
This page was built for publication: On the integral representation of \(g\)-expectations with terminal constraints
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2400639)
