Backward nonlinear expectation equations
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Publication:1702883
DOI10.1007/s11579-017-0199-7zbMath1404.91091OpenAlexW3123398757MaRDI QIDQ1702883
Frank Thomas Seifried, Thomas Seiferling, Christoph Belak
Publication date: 1 March 2018
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11579-017-0199-7
backward stochastic differential equationrecursive utilityvolatility uncertaintynonlinear expectationrandom \(G\)-expectation
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Utility theory (91B16) Applications of stochastic analysis (to PDEs, etc.) (60H30)
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Cites Work
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