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Nonlinear continuous semimartingales - MaRDI portal

Nonlinear continuous semimartingales (Q6136833)

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scientific article; zbMATH DE number 7790306
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Nonlinear continuous semimartingales
scientific article; zbMATH DE number 7790306

    Statements

    title
    Nonlinear continuous semimartingales (English)
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    author
    David Criens
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    Lars Niemann
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    publication date
    17 January 2024
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    zbMATH Keywords
    Knightian uncertainty
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    nonlinear expectation
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    nonlinear martingale problem
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    nonlinear semimartingales
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    path-dependent partial differential equation
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    semimartingale characteristics
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    sublinear expectation
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    viscosity solution
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    cites work
    Q5386174
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    Q3415147
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    Q3957682
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    Q4148368
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    Q4274285
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    Q3992729
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    Q3924937
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    Q4778955
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    Q4002114
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    Q3914121
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    Q5436616
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    Q4435813
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    Probability Theory
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    Identifiers

    arXiv ID
    2204.07823
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    Mathematics Subject Classification ID
    60G65
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    35D40
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    60G07
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    60G44
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    93E20
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    zbMATH DE Number
    7790306
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    DOI
    10.1214/23-EJP1037
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