Nonlinear expectations and nonlinear Markov chains
From MaRDI portal
Publication:2483722
DOI10.1142/S0252959905000154zbMath1077.60045MaRDI QIDQ2483722
Publication date: 26 July 2005
Published in: Chinese Annals of Mathematics. Series B (Search for Journal in Brave)
Doob-Meyer decomposition; \(g\)-expectation; \(g\)-martingale; Backward stochastic differential equations; Measure of risk; Nonlinear Kolmogorov's consistent theorem
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
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