Stochastic representation under filtration-consistent nonlinear expectations
From MaRDI portal
Cites work
- A Knightian irreversible investment problem
- A stochastic representation theorem with applications to optimization and obstacle problems.
- Adapted solution of a backward stochastic differential equation
- Backward Stochastic Differential Equations in Finance
- Backward stochastic differential equations with jumps and related nonlinear expectations
- Backward stochastic differential equations with jumps and their actuarial and financial applications. BSDEs with jumps
- Continuous-time public good contribution under uncertainty: a stochastic control approach
- Dynamic allocation problems in continuous time
- Filtration-consistent nonlinear expectations and related g-expectations
- Generalized Kuhn-Tucker conditions for N-firm stochastic irreversible investment under limited resources
- scientific article; zbMATH DE number 1032935 (Why is no real title available?)
- scientific article; zbMATH DE number 1985272 (Why is no real title available?)
- scientific article; zbMATH DE number 2144817 (Why is no real title available?)
- scientific article; zbMATH DE number 852303 (Why is no real title available?)
- scientific article; zbMATH DE number 3342557 (Why is no real title available?)
- Identifying the free boundary of a stochastic, irreversible investment problem via the Bank-El Karoui representation theorem
- Intertemporal Preferences for Uncertain Consumption: A Continuous Time Approach
- On intertemporal preferences in continuous time. The case of certainty
- On irreversible investment
- On variant reflected backward SDEs, with applications
- Optimal consumption choice with intertemporal substitution
- Optimal consumption with Hindy–Huang–Kreps preferences under nonlinear expectations
- Optimal stopping for non-linear expectations. I
- Optimal stopping for non-linear expectations. II
- Optimal stopping under adverse nonlinear expectation and related games
- Optimal stopping under ambiguity in continuous time
- Optimal stopping with f-expectations: the irregular case
- Optimal Stopping With Multiple Priors
- Quadratic BSDEs with convex generators and unbounded terminal conditions
- Stochastic representation under \(g\)-expectation and applications: the discrete time case
This page was built for publication: Stochastic representation under filtration-consistent nonlinear expectations
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6938929)