Lenglart domination inequalities for \(g\)-expectations

DOI10.1016/J.SPL.2009.08.009zbMath1181.60094OpenAlexW2090291035MaRDI QIDQ1036610

Guo-Qing Zhao

Publication date: 13 November 2009

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2009.08.009

zbMATH Keywords

backward stochastic differential equations\(g\)-expectationsLenglart domination inequalities

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (1)

On optimal stopping and free boundary problems under ambiguity

Cites Work

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• Risk measures via \(g\)-expectations
• Minimax tests and the Neyman-Pearson lemma for capacities
• Coherent Measures of Risk
• On a problem of necessary and sufficient conditions in the functional central limit theorem for local martingales
• From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process¹
• Backward Stochastic Differential Equations in Finance
• Ambiguity, Risk, and Asset Returns in Continuous Time

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