Inequalities for upper and lower probabilities

DOI10.1016/J.SPL.2005.03.010MaRDI QIDQ2483891zbMATH OpenOpenAlexFDO

Authors Zengjing Chen, Reg J. Kulperger

Publication date 1 August 2005

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

Full work available at URL https://doi.org/10.1016/j.spl.2005.03.010

zbMATH Keywords

Multiple priors2-alternatingBackward stochastic differential equation (BSDE)

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15)

Recommendations

• Sub-concave and sub-convex capacities
• A property of \(g\)-probabilities
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Cites work

• A comonotonic theorem for BSDEs
• Adapted solution of a backward stochastic differential equation
• Ambiguity, Risk, and Asset Returns in Continuous Time
• Backward Stochastic Differential Equations in Finance
• Bayes' theorem for Choquet capacities
• Choquet expectation and Peng's \(g\)-expectation

Cited in

(8)

• scientific article; zbMATH DE number 4172040 (Why is no real title available?)
• Sub-concave and sub-convex capacities
• A property of \(g\)-probabilities
• On capacity functionals in interval probabilities
• Concentration inequalities for upper probabilities
• scientific article; zbMATH DE number 1066346 (Why is no real title available?)
• Fubini theorem for non additive measures in the framework of \(g\)-expectation
• Conditional Choquet expectation

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