scientific article; zbMATH DE number 1867094

zbMATH Open1011.60038MaRDI QIDQ4792528FDOQ4792528

François Coquet, Jean Mémin, Ying Hu

Publication date: 25 May 2003

Title of this publication is not available (Why is that?)

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)

Cited In (7)

• Title not available (Why is that?)
• Filtration consistent nonlinear expectations and evaluations of contingent claims
• 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

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