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 (19)
- Title not available (Why is that?)
- Nonlinear continuous semimartingales
- 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
- An integral representation theorem of \(g\)-expectations
- Filtration-consistent nonlinear expectations and related \(g\)-expectations
- Hyperfinite construction of \(G\)-expectation
- Imprecise expectations for imprecise linear filtering
- Constructing sublinear expectations on path space
- Kolmogorov-type and general extension results for nonlinear expectations
- On \(g\)-expectations and filtration-consistent nonlinear expectations
- BSDEs under filtration-consistent nonlinear expectations and the corresponding decomposition theorem for \({\mathcal E}\)-supermartingales in \(L^p\)
- Representation of filtration-consistent nonlinear expectation by g-expectation in general framework
- Dynamically consistent nonlinear evaluations with their generating functions in \(L^p\)
- Backward nonlinear expectation equations
- Martingale problem under nonlinear expectations
- Random \(G\)-expectations
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