Dynamically consistent nonlinear evaluations with their generating functions in \(L^p\)

DOI10.1007/S10114-013-1715-1zbMath1271.60068OpenAlexW2163955104MaRDI QIDQ1944854

Feng Hu

Publication date: 28 March 2013

Published in: Acta Mathematica Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10114-013-1715-1

zbMATH Keywords

generating functionsbackward stochastic differential equations\(g\)-expectationderivatives pricingdynamic risk measuredomination conditionstochastic financedynamically consistent nonlinear evaluation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Ordinary differential equations and systems with randomness (34F05) Stochastic systems in control theory (general) (93E03)

Related Items (5)

On Jensen's inequality, Hölder's inequality, and Minkowski's inequality for dynamically consistent nonlinear evaluations ⋮ \(L^{p}\) solutions of infinite time interval backward doubly stochastic differential equations under monotonicity and general increasing conditions ⋮ A novel Speckle noise removal algorithm based on ADMM and energy minimization method ⋮ On the representation for dynamically consistent nonlinear evaluations: uniformly continuous case ⋮ L^psolutions of anticipated backward stochastic differential equations under monotonicity and general increasing conditions

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