DYNAMIC RISK MEASURES AND G-EXPECTATION

DOI10.7468/jksmeb.2013.20.4.287zbMath1290.91091OpenAlexW2097481225MaRDI QIDQ5403883

Ju Hong Kim

Publication date: 19 March 2014

Published in: The Pure and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.7468/jksmeb.2013.20.4.287

zbMATH Keywords

\(g\)-expectationdynamic risk measurenonlinear expectationcoherent risk measureChoquet expectation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44)

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