Representing filtration consistent nonlinear expectations as \(g\)-expectations in general probability spaces
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Publication:424490
DOI10.1016/j.spa.2011.12.004zbMath1254.60045arXiv1102.5287MaRDI QIDQ424490
Publication date: 1 June 2012
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1102.5287
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60G48: Generalizations of martingales
60H20: Stochastic integral equations
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