On the integral representation of g-expectations

DOI10.1016/J.CRMA.2010.04.008MaRDI QIDQ974028zbMATH OpenOpenAlexFDO

Authors Mingshang Hu

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

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 1066320 (Why is no real title available?)
• A converse comparison theorem for BSDEs and related properties of \(g\)-expectation
• 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
• Convexity, translation invariance and subadditivity for \(g\)-expectations and related risk measures
• Filtration-consistent nonlinear expectations and related \(g\)-expectations
• Minimax pricing and Choquet pricing
• Non-additive measure and integral
• Theory of capacities

Cited in

(7)

• scientific article; zbMATH DE number 5734673 (Why is no real title available?)
• A comonotonic theorem for backward stochastic differential equations in \(L^p\) and its applications
• Representation of filtration-consistent nonlinear expectation by g-expectation in general framework
• Dynkin game under \(g\)-expectation in continuous time
• scientific article; zbMATH DE number 6177986 (Why is no real title available?)
• On the integral representation of \(g\)-expectations with terminal constraints
• Dynkin's formula under the \(G\)-expectation

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