Filtration consistent nonlinear expectations and evaluations of contingent claims

DOI10.1007/s10255-004-0161-3zbMath1061.60063OpenAlexW2020691394MaRDI QIDQ705074

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

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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