Generalized Peng's g-expectations and related properties
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Publication:844869
DOI10.1016/J.SPL.2009.10.006zbMATH Open1181.60084OpenAlexW2004556613MaRDI QIDQ844869FDOQ844869
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
Cites Work
- \(L^p\) solutions of backward stochastic differential equations.
- Backward Stochastic Differential Equations in Finance
- Ambiguity, Risk, and Asset Returns in Continuous Time
- Adapted solution of a backward stochastic differential equation
- Choquet expectation and Peng's \(g\)-expectation
- Filtration-consistent nonlinear expectations and related \(g\)-expectations
- Risk measures via \(g\)-expectations
- Title not available (Why is that?)
- Jensen's inequality for \(g\)-expectation. I
- Jensen's inequality for \(g\)-expectation. II
- A converse comparison theorem for BSDEs and related properties of \(g\)-expectation
- Representation theorems for generators of backward stochastic differential equations and their applications
- On Jensen's inequality for \(g\)-expectation and for nonlinear expectation
- A property of backward stochastic differential equations
- A note on \(g\)-expectation with comonotonic additivity
Cited In (10)
- 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
- Choquet expectation and Peng's \(g\)-expectation
- On the integral representation of \(g\)-expectations with terminal constraints
- \(L^p\) weak convergence method on BSDEs with non-uniformly Lipschitz coefficients and its applications
- Dynamically consistent nonlinear evaluations with their generating functions in \(L^p\)
- Jensen's inequality for generalized Peng's \(g\)-expectations and its applications
- On Jensen's inequality, Hölder's inequality, and Minkowski's inequality for dynamically consistent nonlinear evaluations
- Generalized expected value of continuous random variables and its applications
- A comonotonic theorem for backward stochastic differential equations in \(L^p\) and its applications
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