scientific article; zbMATH DE number 1867094
zbMATH Open1011.60038MaRDI QIDQ4792528FDOQ4792528
Authors: Ying Hu, François Coquet, Jean Mémin 
Publication date: 25 May 2003
Title of this publication is not available (Why is that?)
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financeDoob-Meyer decompositionbackward stochastic differential equationsnonlinear martingaleBrownian filtrationnon-additive probabilitiesGirsanov transformations\(g\)-martingale\(\mathcal E\)-supermartingale decompositionsfiltration-consistent nonlinear expectations
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80)
Cited In (9)
- Title not available (Why is that?)
- Filtration consistent nonlinear expectations and evaluations of contingent claims
- Representing filtration consistent nonlinear expectations as \(g\)-expectations in general probability spaces
- Continuous properties of \(g\)-martingales
- Representation theorems for quadratic \(\mathcal F\)-consistent nonlinear expectations
- Filtration-consistent nonlinear expectations and related \(g\)-expectations
- Imprecise expectations for imprecise linear filtering
- Representation of filtration-consistent nonlinear expectation by g-expectation in general framework
- Dynamically consistent nonlinear evaluations with their generating functions in \(L^p\)
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