Filtration consistent nonlinear expectations and evaluations of contingent claims

DOI10.1007/S10255-004-0161-3zbMATH Open1061.60063OpenAlexW2020691394MaRDI QIDQ705074FDOQ705074

Authors: Shige Peng 

Publication date: 25 January 2005

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10255-004-0161-3

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zbMATH Keywords

option pricingbackward stochastic differential equationnonlinear potential theorydynamic programming principle\(g\)-expectationsmeasure of riskevaluation of contingent claimsmarket models with incomplete observationsnonlinear Markov propertysuper evaluation operatorsYan's commutability theorem

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Stochastic integral equations (60H20)

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Cited In (62)

• BSDEs driven by \(G\)-Brownian motion under degenerate case and its application to the regularity of fully nonlinear PDEs
• \(G\)-stochastic maximum principle for risk-sensitive control problem and its applications
• Linear regression under model uncertainty
• A robust \(\alpha \)-stable central limit theorem under sublinear expectation without integrability condition
• G-Gaussian processes under sublinear expectations and \(q \)-Brownian motion in quantum mechanics
• Existence of relaxed stochastic optimal control for G-SDEs with controlled jumps
• A market- and time-consistent extension for the EIOPA risk-margin
• Distributed consensus and convergence rate analysis of multiagent systems with noises under \(G\)-expectation
• Deep signature FBSDE algorithm
• Reflected stochastic differential equations driven by \(G\)-Brownian motion with nonlinear resistance
• Distributional Uncertainty of the Financial Time Series Measured by $G$-Expectation
• Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I.
• CONIC TRADING IN A MARKOVIAN STEADY STATE
• Viability for stochastic differential equations driven by \(G\)-Brownian motion
• Stochastic differential equations driven by \(G\)-Brownian motion and ordinary differential equations
• Egoroff's theorem and Lusin's theorem for capacities in the framework of \(g\)-expectation
• TIME‐CONSISTENT AND MARKET‐CONSISTENT EVALUATIONS
• Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
• Jump-filtration consistent nonlinear expectations with \(\mathbb{L}^p\) domains
• Path independence of the additive functionals for stochastic differential equations driven by \(G\)-Lévy processes
• Ambiguous volatility, possibility and utility in continuous time
• Dynamical evaluations
• Law of large numbers and central limit theorem under nonlinear expectations
• Survey on normal distributions, central limit theorem, Brownian motion and the related stochastic calculus under sublinear expectations
• On the existence and uniqueness of solutions to forward backward stochastic differential equations driven by G-Brownian motion
• On the comparison theorem for multi-dimensional \(G\)-SDEs
• Local Lipschitz-\(\alpha\) mappings and applications to sublinear expectations
• Reflected solutions of backward stochastic differential equations driven by \(G\)-Brownian motion
• Quasi-continuous random variables and processes under the \(G\)-expectation framework
• Stopping times and related Itô's calculus with \(G\)-Brownian motion
• Reduced-form framework under model uncertainty
• A stochastic recursive optimal control problem under the G-expectation framework
• A central limit theorem for \(m\)-dependent random variables under sublinear expectations
• An efficient numerical method for forward-backward stochastic differential equations driven by \(G\)-Brownian motion
• Explicit positive solutions to \(G\)-heat equations and the application to \(G\)-capacities
• Sample path properties of \(G\)-Brownian motion
• Explicit solutions of the \(G\)-heat equation for a class of initial conditions
• Independence under the \(G\)-expectation framework
• Dual formulation of second order target problems
• Constructing sublinear expectations on path space
• Representation theorem for generators of BSDEs driven by \(G\)-Brownian motion and its applications
• Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
• A universal robust limit theorem for nonlinear Lévy processes under sublinear expectation
• A class of backward doubly stochastic differential equations with discontinuous coefficients
• Backward stochastic differential equations driven by \(G\)-Brownian motion
• 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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• The PDEs and numerical scheme for derivatives under uncertainty volatility
• A probabilistic weak formulation of mean field games and applications
• A complete representation theorem for \(G\)-martingales
• Jensen's inequality for \(g\)-convex function under \(g\)-expectation
• Jensen's inequality for backward SDEs driven by \(G\)-Brownian motion
• Random \(G\)-expectations
• Retracted: Sublinear expectation nonlinear regression for the financial risk measurement and management
• Convergences of random variables under sublinear expectations
• On Jensen's inequality, Hölder's inequality, and Minkowski's inequality for dynamically consistent nonlinear evaluations
• Fubini theorem for non additive measures in the framework of \(g\)-expectation
• Properties of solutions of BSDEs with integrable parameters
• Existence of solution for stochastic differential equations driven by \(G\)-Lévy process with discontinuous coefficients
• Exponential stability of solutions to stochastic differential equations driven by \(G\)-Lévy process
• The pricing of Asian options in uncertain volatility model

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