Representation theorems for quadratic \(\mathcal F\)-consistent nonlinear expectations

DOI10.1016/j.spa.2007.10.002zbMath1155.60018arXiv0704.1796OpenAlexW1970545050MaRDI QIDQ947150

Jin Ma, Ying Hu, Song Yao, Shige Peng

Publication date: 29 September 2008

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0704.1796

zbMATH Keywords

representation theoremDoob-Meyer decompositionBMO\(g\)-expectationbackward SDEs\(\mathcal F\)-consistent nonlinear expectationsquadratic nonlinear expectations

Mathematics Subject Classification ID

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• Backward stochastic differential equations and partial differential equations with quadratic growth.
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• Utility maximization in incomplete markets
• Coherent Measures of Risk

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