scientific article; zbMATH DE number 1867094

MaRDI QIDQ4792528zbMATHFDO

Authors Ying Hu, François Coquet, Jean Mémin

Publication date 25 May 2003

zbMATH Keywords

financeDoob-Meyer decompositionbackward stochastic differential equationsnonlinear martingaleBrownian filtrationnon-additive probabilitiesGirsanov transformations\(g\)-martingale\(\mathcal E\)-supermartingale decompositionsfiltration-consistent nonlinear expectations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80)

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• Imprecise expectations for imprecise linear filtering
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• Constructing sublinear expectations on path space
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• BSDEs under filtration-consistent nonlinear expectations and the corresponding decomposition theorem for \({\mathcal E}\)-supermartingales in \(L^p\)
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• Representation of filtration-consistent nonlinear expectation by g-expectation in general framework
• Dynamically consistent nonlinear evaluations with their generating functions in \(L^p\)
• Hyperfinite construction of \(G\)-expectation
• Nonlinear continuous semimartingales
• Continuous properties of \(g\)-martingales
• Filtration consistent nonlinear expectations and evaluations of contingent claims
• Kolmogorov-type and general extension results for nonlinear expectations
• On \(g\)-expectations and filtration-consistent nonlinear expectations
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• Representation theorems for quadratic \(\mathcal F\)-consistent nonlinear expectations

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