scientific article; zbMATH DE number 3944929

MaRDI QIDQ3715941zbMATH OpenFDO

Authors Jia-An Yan

Publication date 1985

zbMATH Keywords

essential infimumstochastic controlstrong supermartingales

Mathematics Subject Classification ID

Probabilistic measure theory (60A10) Martingales with discrete parameter (60G42) Optimal stochastic control (93E20)

Recommendations

• Conditional essential suprema with applications
• Some special properties of conditional expectation
• Essential (convex) closure of a family of random sets and its applications
• Convergences theorem for set-valued condition expectation
• Measurable majorants in L¹

Cited in

(6)

• Reduced-form framework under model uncertainty
• Reduced-form framework for multiple ordered default times under model uncertainty
• A comparison of techniques for dynamic multivariate risk measures
• A supermartingale relation for multivariate risk measures
• Multi-portfolio time consistency for set-valued convex and coherent risk measures
• Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3715941)