On Quadraticg-Evaluations/Expectations and Related Analysis
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Publication:3580108
DOI10.1080/07362994.2010.482827zbMath1206.60057arXiv0905.3941OpenAlexW2051641896MaRDI QIDQ3580108
Publication date: 11 August 2010
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0905.3941
generatorcomparison theorembackward stochastic differential equationupcrossing inequalityg-expectationoptional sampling theoremDoob-Meyer type decompositiong-evaluation
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generalizations of martingales (60G48)
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Cites Work
- Representation theorems for quadratic \(\mathcal F\)-consistent nonlinear expectations
- Continuous exponential martingales and BMO
- Filtration-consistent nonlinear expectations and related \(g\)-expectations
- Backward stochastic differential equations and partial differential equations with quadratic growth.
- Utility maximization in incomplete markets
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