Generalized Peng's g-expectations and related properties

DOI10.1016/J.SPL.2009.10.006MaRDI QIDQ844869zbMATH OpenOpenAlexFDO

Authors Feng Hu, Zengjing Chen

Publication date 5 February 2010

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2009.10.006

zbMATH Keywords

generalized Peng's \(g\)-expectationsstability theorem

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cites work

• L^p solutions of backward stochastic differential equations.
• A converse comparison theorem for BSDEs and related properties of \(g\)-expectation
• A note on g-expectation with comonotonic additivity
• A property of backward stochastic differential equations
• Adapted solution of a backward stochastic differential equation
• Ambiguity, Risk, and Asset Returns in Continuous Time
• Backward Stochastic Differential Equations in Finance
• Choquet expectation and Peng's \(g\)-expectation
• Filtration-consistent nonlinear expectations and related g-expectations
• scientific article; zbMATH DE number 1066320 (Why is no real title available?)
• Jensen's inequality for \(g\)-expectation. I
• Jensen's inequality for \(g\)-expectation. II
• On Jensen's inequality for \(g\)-expectation and for nonlinear expectation
• Representation theorems for generators of backward stochastic differential equations and their applications
• Risk measures via g-expectations

Cited in

(10)

• Choquet expectation and Peng's \(g\)-expectation
• A comonotonic theorem for backward stochastic differential equations in \(L^p\) and its applications
• Dynamically consistent nonlinear evaluations with their generating functions in \(L^p\)
• Notes on Peng's independence in sublinear expectation theory
• Representation theorems for generators of BSDEs and the extended \(g\)-expectations in probability spaces with general filtration
• On the integral representation of \(g\)-expectations with terminal constraints
• On Jensen's inequality, Hölder's inequality, and Minkowski's inequality for dynamically consistent nonlinear evaluations
• \(L^p\) weak convergence method on BSDEs with non-uniformly Lipschitz coefficients and its applications
• Jensen's inequality for generalized Peng's g-expectations and its applications
• Generalized expected value of continuous random variables and its applications

This page was built for publication: Generalized Peng's \(g\)-expectations and related properties

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q844869)