On quadratic g-evaluations/expectations and related analysis
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On quadratic \(g\)-evaluations/expectations and related analysis
On quadratic \(g\)-evaluations/expectations and related analysis
Abstract: In this paper we extend the notion of g-evaluation, in particular g-expectation, to the case where the generator g is allowed to have a quadratic growth. We show that some important properties of the g-expectations, including a representation theorem between the generator and the corresponding g-expectation, and consequently the reverse comparison theorem of quadratic BSDEs as well as the Jensen inequality, remain true in the quadratic case. Our main results also include a Doob-Meyer type decomposition, the optional sampling theorem, and the up-crossing inequality. The results of this paper are important in the further development of the general quadratic nonlinear expectations.
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Cites work
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Cited in
(25)- A representation theorem for generators of BSDEs with general growth generators in y and its applications
- Jump-filtration consistent nonlinear expectations with \(\mathbb{L}^p\) domains
- On the representation for dynamically consistent nonlinear evaluations: uniformly continuous case
- Representation theorem for generators of quadratic BSDEs
- Dynamically consistent nonlinear evaluations with their generating functions in \(L^p\)
- Comparison theorem for diagonally quadratic BSDEs
- A note on \(g\)-concave function
- Representation theorems for generators of BSDEs and the extended \(g\)-expectations in probability spaces with general filtration
- Quadratic g-convexity, C-convexity and their relationships
- Representation theorems for generators of BSDEs with monotonic and convex growth generators
- Second order backward stochastic differential equations with quadratic growth
- A new existence result for second-order BSDEs with quadratic growth and their applications
- Quadratic BSDEs with jumps: related nonlinear expectations
- Quadratic reflected BSDEs with unbounded obstacles
- General time interval BSDEs under the weak monotonicity condition and nonlinear decomposition for general g-supermartingales
- On \(g\)-evaluations with \(\mathbb{L}^p\) domains under jump filtration
- Equilibrium Pricing Under Relative Performance Concerns
- Reflected backward stochastic differential equations and a class of non-linear dynamic pricing rule
- Optimal stopping for non-linear expectations. I
- Invariant representation for generators of general time interval quadratic BSDEs under stochastic growth conditions
- Set-valued backward stochastic differential equations
- The perturbation method applied to a robust optimization problem with constraint
- On g-expectations and filtration-consistent nonlinear expectations
- Path-regularity and martingale properties of set-valued stochastic integrals
- Doubly reflected BSDEs with integrable parameters and related Dynkin games
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