scientific article

Publication date: 11 November 2011

Full work available at URL: http://ebooks.worldscinet.com/ISBN/9789814324359/9789814324359_0019.html

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Brownian motion \(g\)-expectation \(g\)-martingale backward stochastic differential equation risk measure \(G\)-expectation nonlinear expectation super-hedging parabolic partial differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear parabolic equations (35K55) PDEs with randomness, stochastic partial differential equations (35R60)

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