On the integral representation of g-expectations
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Publication:974028
DOI10.1016/J.CRMA.2010.04.008zbMATH Open1193.60078OpenAlexW1996284532MaRDI QIDQ974028FDOQ974028
Publication date: 26 May 2010
Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.crma.2010.04.008
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Cites Work
- Non-additive measure and integral
- 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
- Convexity, translation invariance and subadditivity for \(g\)-expectations and related risk measures
- Title not available (Why is that?)
- Theory of capacities
- A converse comparison theorem for BSDEs and related properties of \(g\)-expectation
- Minimax pricing and Choquet pricing
Cited In (7)
- Title not available (Why is that?)
- Dynkin game under \(g\)-expectation in continuous time
- Dynkin's formula under the \(G\)-expectation
- On the integral representation of \(g\)-expectations with terminal constraints
- Representation of filtration-consistent nonlinear expectation by g-expectation in general framework
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- A comonotonic theorem for backward stochastic differential equations in \(L^p\) and its applications
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