Dynamical evaluations

DOI10.1016/J.CRMA.2004.09.015zbMATH Open1065.60087OpenAlexW4232023762MaRDI QIDQ704247FDOQ704247

Authors: Shige Peng 

Publication date: 13 January 2005

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.crma.2004.09.015

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Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic integral equations (60H20)

Cites Work

• Nonlinear expectations and nonlinear Markov chains
• Filtration consistent nonlinear expectations and evaluations of contingent claims
• Filtration-consistent nonlinear expectations and related \(g\)-expectations
• Title not available (Why is that?)
• Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer's type

Cited In (13)

• Jump-filtration consistent nonlinear expectations with \(\mathbb{L}^p\) domains
• On the representation for dynamically consistent nonlinear evaluations: uniformly continuous case
• Some properties of \(g\)-convex functions
• Set-valued risk measures as backward stochastic difference inclusions and equations
• \(\mathbb{L}^{p}\) solutions of reflected backward stochastic differential equations with jumps
• Dynamical signatures
• Doubly reflected BSDEs with integrable parameters and related Dynkin games
• Dual representation as stochastic differential games of backward stochastic differential equations and dynamic evaluations
• On \(g\)-evaluations with \(\mathbb{L}^p\) domains under jump filtration
• Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
• Dynamically consistent nonlinear evaluations with their generating functions in \(L^p\)
• Jensen's inequality for \(g\)-convex function under \(g\)-expectation
• On Jensen's inequality, Hölder's inequality, and Minkowski's inequality for dynamically consistent nonlinear evaluations

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